COVID-19 and Dependence Between Oil and Renewable Energy Stocks: C-Vine Copula Approach

Author:

Siddiqui Saif1ORCID,Kaur Rajbeer1ORCID

Affiliation:

1. Centre for Management Studies, Jamia Millia Islamia, New Delhi, India

Abstract

This article analyses the dependence structure between traditional energy prices traditional oil indices and renewable energy stock indices employing Canonical Vine (C-Vine) copula based GARCH approach. The analysis is conducted before and during-COVID-pandemic period. Renewable energy stock is represented by SPGCE and CLEANTECH index, whereas traditional energy is represented by WTI crude oil and OVX. The empirical analysis indicated increasing asymmetric dependence between WTI crude and renewable energy indices during COVID-19. However, WTI crude oil is not found to be the primary determinant for influencing renewable energy stocks. In fact, we find a strong association between SPGCE and CLEANTECH and degree of dependence escalated during COVID-19 period. Besides this, the dependence structure between WTI crude and CLEANTECH changes from the upper tail dependence to lower tail dependence signifying the consequences of low economic activities on the technology sector. Furthermore, the dependence between OVX and SPGCE conditional on WTI reveal the scope of diversification as dependence parameters are insignificant. These findings are robust considering alternative GARCH specifications and alternative oil future benchmark and renewable energy stock index. The results provide useful implications for the energy policymakers and investors.

Publisher

SAGE Publications

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3