Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

被引：537
|
作者：
Sadorsky, Perry [1 ]
机构：
[1] York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada
来源：
ENERGY ECONOMICS | 2012年 / 34卷 / 01期
关键词：
Renewable energy; Multivariate GARCH; Volatility; Oil prices; TRANSMISSION; RETURNS;
D O I：
10.1016/j.eneco.2011.03.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies. Four different multivariate GARCH models (BEKK, diagonal, constant conditional correlation, and dynamic conditional correlation) are compared and contrasted. The dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices. On average, a $1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market. (C) 2011 Elsevier B.V. All rights reserved.
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页码：248 / 255
页数：8
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