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Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching
Journal article   Peer reviewed

Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching

Aviral Kumar Tiwari, Samia Nasreen, Shawkat Hammoudeh and Refk Selmi
Energy (Oxford), v 220, 119590
01 Apr 2021
DOI: https://doi.org/10.1016/j.energy.2020.119590
Featured in Collection :   UN Sustainable Development Goals @ Drexel

Abstract

Clean energy stock returns Dependence-switching copula Oil prices Technology stock returns
This paper uses a Dependence-Switching Copula (DSC) to examine the dependence and tail dependence between oil prices and stock returns of 54 clean energy companies in the WilderHill Clean Energy Index (WECI) and 100 technology companies in the NYSE Arca Technology Index (NATI) under four different market conditions, namely, bullish WECI or NATI/high oil price, bearish WECI or NATI/low oil price (i.e., positive correlation regimes), bullish WECI or NATI/low oil price, and bearish WECI or NATI/high oil price (i.e., negative correlation regimes). The findings reveal a asymmetric dependence structure under the positive correlation regimes, while a symmetric dependence under negative correlation regimes. However, the results also show a dissimilarity in the responses of stock returns of the selected companies with respect to the fluctuation in the oil prices. The tail dependence between oil and clean energy indices is the lowest under the positive correlation regimes and the that between oil and technology indices is the lowest under negative correlation regimes. For the two considered pairs, we note a dominance of the chasing effect (negative dependence) for some periods, while a dominance of the portfolio rebalancing effect (positive dependence) for the other periods. Our findings provide crucial information to investors and portfolio managers seeking low-risk opportunities in distressing times. •Examined dependence and systematic risk between oil, & clean energy and technology.•Used a dependence-switching copula model that emphasizes four different markets.•Tail dependence was asymmetric under the negative and positive correlation regimes.•Tail dependence between oil and clean energy is the weakest.

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27 citations in Web of Science
28 citations in Scopus

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UN Sustainable Development Goals (SDGs)

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#8 Decent Work and Economic Growth

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Collaboration types
Domestic collaboration
International collaboration
Web of Science research areas
Energy & Fuels
Thermodynamics
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