Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index
Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index
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DOI：
10.1016/j.jclepro.2017.07.050
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发表时间：
2017-10-15
影响因子：
11.1
通讯作者：
Dutta, Anupam
中科院分区：
文献类型：
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作者：
Dutta, Anupam
早期的研究表明，石油价格冲击对清洁能源股票回报有重大影响。虽然以前的文献使用传统的石油价格序列来研究这种影响，我们的目标是评估是否可以使用原油波动性指数（OVX），石油价格不确定性的指标的信息内容来解释替代能源股票收益率的方差。为了达到我们的目的，我们采用了几种措施来确定替代能源行业股票回报的已实现波动率（RV）。特别是，我们使用三种不同的基于范围的RV估计推荐帕金森（1980），罗杰斯和Satellite（1991）和Alizadeh等人。（2002）分别。我们的研究结果表明，清洁能源股票市场的回报率是高度敏感的OVX冲击。因此，石油市场的不确定性，衡量OVX，体现了可再生能源股票回报的波动性建模的关键作用。此外，我们发现一个强有力的迹象表明，OVX提供了额外的信息，超出了所包含的历史波动率的股票回报。我们还证明了OVX的影响幅度远远大于WTI石油现货价格的已实现方差。最后，我们发现原油波动性指数的信息含量改善了对清洁能源股票市场波动性的预测。(C)2017爱思唯尔有限公司版权所有
Earlier studies evidence that oil price shocks have significant impacts on clean energy stock returns. While the previous literature uses traditional oil price series to investigate such effects, we aim to assess whether the variance of alternative energy stock returns can be explained using the information content of crude oil volatility index (OVX), an indicator of oil price uncertainty. To serve our purpose, we employ several measures to frame the realized volatility (RV) of alternative energy sector equity returns. In particular, we use three different range-based RV estimators recommended by Parkinson (1980), Rogers and Satchell (1991) and Alizadeh et al. (2002) respectively. Our findings reveal that clean energy stock market returns are highly sensitive to OVX shocks. Thus oil market uncertainty, measured by OVX, embodies a crucial role in modeling the volatility of renewable energy equity returns. In addition, we find a strong indication that OVX provides additional information beyond what is contained in the historical volatilities of equity returns. We also document that the magnitude of the effect of OVX is much bigger than that of the realized variance of WTI oil spot prices. Finally, we find that the information content of crude oil volatility index improves the volatility forecasts for the clean energy equity market. (C) 2017 Elsevier Ltd. All rights reserved.