Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method
Resources Policy
; 78:102796, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1886063
ABSTRACT
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 non-ferrous 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.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Type of study:
Experimental Studies
Language:
English
Journal:
Resources Policy
Year:
2022
Document Type:
Article
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