کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5107276 1481792 2017 33 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the dynamic dependence and investment performance of crude oil and clean energy stocks
ترجمه فارسی عنوان
در مورد وابستگی پویا و عملکرد سرمایه گذاری نفت خام و ذخایر تمیز انرژی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی
This paper examines the directional spillover between crude oil prices and stock prices of technology and clean energy companies. The study uses the daily data over the period from May 2005 to April 2015. The estimated results exhibit following empirical regularities. First, it appears that technology stocks play vital role in the return and volatility spillovers of renewable energy stocks and crude oil prices. Second, technology (PSE) and clean energy indices (ECO) are the dominant emitters of return and volatility spillovers to the crude oil (WTI) prices. Third, the time and event-dependent movements are well captured by the directional spillover approach. Fourth, the application of directional spillover method seems to be more advantageous than MGARCH models as it not only establishes the inter-variables return and volatility spillovers but also helps in identifying direction of spillover through calculation of pairwise net spillovers. Last, the dynamic hedging results suggest that clean energy index can provide a profitable hedging opportunity in combination with crude oil futures than technology index. Many new findings further discussed and analysed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 42, December 2017, Pages 376-389
نویسندگان
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