The Asymmetric Interaction Between Oil Price Change and Stock Returns of the Renewable Energy Companies in India: A Panel NARDL Approach

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2024-02-14 DOI:10.1007/s10690-024-09447-w

Lalatendu Mishra, Rajesh H. Acharya

引用次数: 0

Abstract

This study aims to investigate the oil price asymmetric effect on stock return of renewable energy companies. We apply panel Non-linear Autoregressive Distributed Lag to examine the effect of positive and negative changes in the oil price. The monthly data of all renewable energy companies listed in the National Stock Exchange of India are considered for the analysis. We find the oil price asymmetric effect only on stock returns of the standalone renewable products and services companies in the long run. This asymmetric effect is not found in the whole sample and other sub-groups of renewable energy companies. The findings would be useful to investors, portfolio managers, corporate managers and policymakers.

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油价变化与印度可再生能源公司股票回报之间的不对称互动：面板 NARDL 方法

本研究旨在探讨石油价格对可再生能源公司股票回报率的非对称影响。我们采用面板非线性自回归分布滞后检验油价正负变化的影响。分析考虑了在印度国家证券交易所上市的所有可再生能源公司的月度数据。我们发现，从长期来看，油价只对独立的可再生产品和服务公司的股票收益产生非对称效应。这种非对称效应在整个样本和其他可再生能源公司分组中都没有发现。这些发现对投资者、投资组合经理、企业管理者和政策制定者都有帮助。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets