The impact of extreme structural oil-price shocks on clean energy and oil stocks

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42 Citations (Scopus)


This paper investigates the time frequency and quantile dynamics of the dependence among the stock prices of clean energy companies, the stock prices of oil & gas companies, and shocks to crude oil prices. This is the first empirical study to examine the extreme comovements (tail dependence) between the different sources of oil price shocks (oil supply shocks, aggregate demand shocks, and oil-specific shocks) and clean energy and oil & gas stock returns. Our methodology incorporates Baruník and Kley's (2019) novel quantile cross-spectral dependence approach for the 2004–2019 period. The empirical results show that the effect of supply oil shocks on the returns of clean energy firms is concentrated mainly in the short-term horizon while the effect of aggregate demand shocks is mainly concentrated in the long and intermediate terms. Generally, the connection between aggregate demand shocks and clean energy is more important than the connection between supply shocks and clean energy, especially during the medium term. Additionally, the relation between oil shocks and oil & gas stock returns is direct or occurs mainly during normal time episodes and largely driven by oil demand-specific shocks. The dependence between the aggregate demand shocks and clean energy stock returns of normal quantiles is the highest in the medium term. Finally, oil supply shocks have a larger impact on oil & gas stock returns than on clean energy stock returns. These results have important practical implications for investors and policymakers interested in fossil fuel and renewable energy investments, especially if they have different time horizon preferences.

Original languageEnglish
Article number120209
Publication statusPublished - Jun 15 2021


  • Clean energy stocks
  • Connectedness and coherence
  • Crude oil price shocks
  • Oil & gas stocks
  • Quantile cross-spectral dependence

ASJC Scopus subject areas

  • Civil and Structural Engineering
  • Building and Construction
  • Pollution
  • Mechanical Engineering
  • Industrial and Manufacturing Engineering
  • Electrical and Electronic Engineering


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