Connectedness and risk spillovers between crude oil and clean energy stock markets

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dc.contributor.authorÇevik, Emre
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.contributor.authorCergibozan, Raif
dc.contributor.authorBuğan, Mehmet Fatih
dc.contributor.authorDestek, Mehmet Akif
dc.date.accessioned2023-05-06T17:22:07Z
dc.date.available2023-05-06T17:22:07Z
dc.date.issued2023
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis research investigates the relationship between clean energy stock and oil market returns utilizing Granger predictability in distribution and quantile impulse response analysis. We find that clean energy stock returns Granger predict oil price returns during normal times based on the distribution's center, but not vice versa. During bullish market episodes, there is bidirectional Granger predictability between the returns of clean energy stocks and oil market returns. Nonetheless, we find that clean energy stock returns Granger predict oil returns in bearish markets without any evidence of the contrary. This indicates that oil returns cannot be used to hedge the downside risk associated with renewable energy company purchases. Quantile impulse responses for the relationship between clean energy stocks and the crude oil market reveal bidirectional and significant responses, where a negative shock during an extremely down market reveals a negative response in the other market and a positive shock during an extremely up market reveals a significant positive response. This shows that neither market can be utilized to offset risks in the other market.
dc.identifier.doi10.1177/0958305X231167468
dc.identifier.issn0958-305X
dc.identifier.issn2048-4070
dc.identifier.scopus2-s2.0-85152250464
dc.identifier.scopusqualityQ2
dc.identifier.urihttps://doi.org/10.1177/0958305X231167468
dc.identifier.urihttps://hdl.handle.net/20.500.11776/12029
dc.identifier.wosWOS:000962510600001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherSage Publications Ltd
dc.relation.ispartofEnergy & Environment
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectClean energy returns
dc.subjectoil returns
dc.subjectrisk spillovers
dc.subjectthe hedging
dc.subjectPrice Shocks
dc.subjectVolatility Spillovers
dc.subjectAsymmetric Volatility
dc.subjectDependence
dc.subjectOutliers
dc.subjectImpact
dc.subjectMacroeconomy
dc.subjectReturns
dc.subjectNetwork
dc.subjectModels
dc.titleConnectedness and risk spillovers between crude oil and clean energy stock markets
dc.typeArticle

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