The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks

Kassouri Y., Altıntaş H.

Journal of Commodity Markets, cilt.28, 2022 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 28
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.jcomm.2021.100238
  • Dergi Adı: Journal of Commodity Markets
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Anahtar Kelimeler: Energy stock returns, Oil price shocks, Technology stock returns
  • Erciyes Üniversitesi Adresli: Evet

Özet

© 2021 Elsevier B.V.The paper examines the degree to which firms' stock returns in the energy and technology sectors depend on oil demand and supply shocks by accounting for quantile dependence in shock transmission and causal linkages. Using monthly time-series data from January 2004 to December 2017, our evidence shows that the substitution between oil and clean commodities occurs only in the long-run when the oil market is subject to demand-driven shocks. Unlike oil demand shocks, we demonstrate that oil supply shocks display a relatively lower predictive power for the clean energy stock returns. We also report that firms in the dirty energy sectors display lower returns mainly due to their exposure to exogenous oil shocks, while firms in clean energy and technology sectors are more resilient to demand shocks as their exhibit positive returns in the long-run. Our findings provide evidence and guidance about investments opportunities in clean assets.