Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression

Unlike previous studies examining the association between crude oil and renewable energy stock prices under average conditions, we employ a quantile-based regression approach offering a more comprehensive dependence structure under diverse market conditions. Using weekly data covering crude oil prices (WTI market) and three clean energy stock indices (the Wilderhill Energy Index, MAC Global Solar Energy Index, and S&P Global Clean Energy Index), quantile regression analyses provide solid evidence of the decreasing dependence of clean energy stock returns on crude oil returns. The lagged effect of WTI oil returns on clean energy stock returns is generally significant, which indicates that clean energy stock returns react differ-ently to new information on oil returns under different market conditions. We further check for asymmetrical effects of oil returns on clean energy stock returns in various market conditions and find a strong effect of negative oil returns during bearish periods and an insignificant effect during bullish episodes. (C) 2020 Elsevier Ltd. All rights reserved.

Automated summary

The study uses quantile regression to analyze the relationship between crude oil prices and clean energy stock returns, finding a decreasing dependence of clean energy stock returns on crude oil returns under diverse market conditions. The lagged effect of oil returns on clean energy stock returns is generally significant, with a strong effect of negative oil returns during bearish periods and an insignificant effect during bullish episodes.