Abstract
We use the wavelet-based quantile-on-quantile and Granger causality-in-quantiles methods to document the impact of exogenous oil price structural shocks on clean energy stocks. We find that the effects vary across quantiles and investment horizons and are asymmetric at higher quantiles of oil shocks in the long run. As for the oil supply shock, the impact on clean energy in the short and long term is strong. Furthermore, it is observed that in the middle term, the effects of the oil aggregate demand shocks are quite positive at higher and lower quantiles of clean energy stocks. In the long run, the impact of the oil specific demand shocks on stocks is asymmetric at the higher quantiles (bullish) of the stock market. In addition, the trend of Granger causal relationship in both the mean and the variance is quite similar from lower quantiles to higher quantiles and we find the evidence of strong predictability of the oil price shocks for the stocks in the long run.
Published Version
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