Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method

Combining advanced quantile-on-quantile (QQ) regression and causality-in-quantiles (QC) methods, we examine the asymmetric effects of non-ferrous metal price shocks on clean energy stocks at aggregate and sub-sector levels. From the aggregate perspective, the impact of non-ferrous metal price shocks is strongly negative for bull clean energy stock markets but is positive under bear circumstances. According to QC analysis, non-ferrous metal price shocks can effectively predict returns on clean energy stocks in some quantiles. Sub-sectors of clean energy stocks react differently, proving the heterogeneity of different industries. Synergistic movements between non-ferrous metal price shocks and some clean energy sectors in bear markets are detected, indicating that nonferrous metals are not safe havens for clean energy stock markets under extreme market conditions. Furthermore, non-ferrous metals have a significantly stronger negative impact on clean energy stocks during the epidemic, demonstrating the structural changes effect of COVID-19.