![]() ![]() Even though ∆ NEG t and ∆ NEG t −1 have positive coefficients, only ∆ NEG t has a marginally significant t statistic (two-sided p-value = 0.10), this is 0.116, suggesting the immediate 0.116% decrease in renewable energy stock prices given a 1% decrease in oil prices. The estimated elasticities of oil price decreases, on the other hand, give mixed results. This is strongly significant with t = 2.914 and verifies a positive relationship between rising oil prices and renewable energy stock prices in the short-run. In the short run, the estimated elasticity of oil price increases is 0.243, indicating the immediate 0.243% increase in renewable energy stock prices given a 1% increase in oil prices (Panel A). Our primary interest is in what happens to the coefficients on oil price increases ( POS t) and decreases ( NEG t). Finally, descriptive statistics of data are summarized in Table 1. The 10-year treasury constant maturity rate is used as a proxy for interest rates ( int t) and is taken from the Federal Reserve Bank of St. The index is a price-weighted index of 100 technology-related companies in 16 different industries such as computer hardware, software, semiconductors, telecom, data storage, electronics & healthcare equipment. The NYSE Arca Tech 100 Index is used as a proxy for stock prices of technology companies ( spt t) and is collected from Bloomberg. The West Texas Intermediate (WTI) spot prices ( cop t) are used as a proxy for crude oil prices and is obtained from the U.S. In terms of the business sector, the index is composed of 32.2% of energy efficiency, 30.8% of wind power, and 19.1% of solar power. The index currently comprises companies from all around the world, 39.0% of Americas, 31.5% of Europe, Middle East & Africa, and 29.5% of Asia & Oceania. NEX represents a global index of 94 companies listed on 28 exchanges in 22 countries whose technologies focus on the generation and use of cleaner energy. 5 The WilderHill New Energy Global Innovation Index (NEX) is used as a proxy for stock prices of renewable energy firms ( spr t) and is taken from Bloomberg. Monthly data relating to the period of January 2002 to December 2016 are used for estimating Equation (4). However, a few studies have sought to address the possibility of the asymmetrical effects of oil prices. stock returns differ substantially depending on whether oil price changes are caused by supply or demand shocks in the oil market. For example, Kilian and Park ( 2009) use a structural VAR model and show that U.S. ![]() The second group addresses the oil price stock market nexus using a structural VAR model (e.g., Kilian and Park 2009 Basher and Sadorsky 2006 Wang et al. ( 1996) and Sadorsky ( 1999) using a VEC model. ( 2016) confirm the findings of Huang et al. They conclude that oil price movements are important in explaining stock returns. ( 1996) and Sadorsky ( 1999) use a VAR model to analyze the effect of oil prices on U.S. 1996 Sadorsky 1999 Papapetrou 2001 Park and Ratti 2008 Cong et al. The first group uses nonstructural VAR/VEC models in tackling the issue (e.g., Huang et al. Given the modeling approach, these studies can be classified into two groups. DriveWealth also partners with businesses around the world to offer its technology solutions as a service platform, which allows global financial institutions to give their clients access to US listed securities.It should be emphasized at the onset that many studies use time series methods in examining the oil price stock market nexus and our paper is essentially part of them. It provides US live trading through collaboration with DriveWealth.ĭriveWealth, LLC ( ), member of FINRA and SIPC, is a mobile executing and clearing broker-dealer for retail and institutional customers and provides a low cost, easy-to-use US equities investing platform to individuals worldwide. It provides well organized stock market information, to help you decide your best investment strategy. JStock makes it easy to track your stock investment. Extra information are available for US companies, including financial ratios, financial statements, analysis based on health and income, dividend history and peer comparison. For US stock market, realtime price streaming is supported. ![]()
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