Oil price effect on asset pricing of renewable energy firms in India: a panel quantile regression approach

IF 2.5 Q3 MANAGEMENT

International Journal of Energy Sector Management Pub Date : 2022-10-18 DOI:10.1108/ijesm-11-2021-0017

Lalatendu Mishra, Rajesh H. Acharya

{"title":"Oil price effect on asset pricing of renewable energy firms in India: a panel quantile regression approach","authors":"Lalatendu Mishra, Rajesh H. Acharya","doi":"10.1108/ijesm-11-2021-0017","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThis study aims to investigate the relationship between oil prices and stock returns of renewable energy firms in India under different market conditions.\n\n\nDesign/methodology/approach\nThe authors use the panel quantile framework with Fama–French–Carhart’s (1997) four-factor asset pricing model. All renewable energy firms listed in the National Stock Exchange of India are considered in this study. Three oil prices, such as West Texas Intermediate spot price, Europe Brent oil price and Indian basket oil price, are used in the regression. The analysis is done for the whole sample and its subgroups.\n\n\nFindings\nIn the whole sample, stock returns of renewable energy firms respond positively to oil price changes in extreme market conditions only. In the subgroups of the renewable energy firms, the relationship between stock returns and oil price is positive and more robust in higher quantiles across all subgroup firms.\n\n\nOriginality/value\nThe contribution of the study is explained as follows. First, this study helps to explore the relationship between oil and stock returns of the renewable energy sector under different market conditions in the Indian context. Second, existing studies explore the effect of oil prices on stock returns of the renewable energy sector at the industry level, and most of the studies are in developed countries. To the best of the authors’ knowledge, this is the first study in the context of India. Third, this is a firm-level study\n","PeriodicalId":46430,"journal":{"name":"International Journal of Energy Sector Management","volume":" ","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2022-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Energy Sector Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/ijesm-11-2021-0017","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MANAGEMENT","Score":null,"Total":0}

引用次数: 1

Abstract

Purpose This study aims to investigate the relationship between oil prices and stock returns of renewable energy firms in India under different market conditions. Design/methodology/approach The authors use the panel quantile framework with Fama–French–Carhart’s (1997) four-factor asset pricing model. All renewable energy firms listed in the National Stock Exchange of India are considered in this study. Three oil prices, such as West Texas Intermediate spot price, Europe Brent oil price and Indian basket oil price, are used in the regression. The analysis is done for the whole sample and its subgroups. Findings In the whole sample, stock returns of renewable energy firms respond positively to oil price changes in extreme market conditions only. In the subgroups of the renewable energy firms, the relationship between stock returns and oil price is positive and more robust in higher quantiles across all subgroup firms. Originality/value The contribution of the study is explained as follows. First, this study helps to explore the relationship between oil and stock returns of the renewable energy sector under different market conditions in the Indian context. Second, existing studies explore the effect of oil prices on stock returns of the renewable energy sector at the industry level, and most of the studies are in developed countries. To the best of the authors’ knowledge, this is the first study in the context of India. Third, this is a firm-level study

查看原文本刊更多论文

石油价格对印度可再生能源公司资产定价的影响:面板分位数回归方法

目的本研究旨在调查印度可再生能源公司在不同市场条件下的油价与股票回报之间的关系。设计/方法论/方法作者使用面板分位数框架和Fama–French–Carhart（1997）的四因素资产定价模型。本研究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。回归中使用了西德克萨斯中质原油现货价格、欧洲布伦特原油价格和印度篮子原油价格三种油价。对整个样本及其子组进行分析。结果在整个样本中，可再生能源公司的股票回报率仅在极端市场条件下对油价变化做出积极反应。在可再生能源公司的子组中，股票回报率和油价之间的关系是正的，并且在所有子组公司的较高分位数中更为稳健。原创性/价值研究的贡献解释如下。首先，本研究有助于探索印度背景下不同市场条件下可再生能源行业的石油和股票回报之间的关系。其次，现有研究在行业层面探讨了油价对可再生能源部门股票回报的影响，大多数研究都在发达国家进行。据作者所知，这是第一次在印度背景下进行研究。第三，这是一项企业层面的研究

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

International Journal of Energy Sector Management MANAGEMENT-

CiteScore

6.80

自引率

22.60%

发文量

期刊介绍： The International Journal of Energy Sector Management aims to facilitate dissemination of research on issues relating to supply management (covering the entire supply chain of resource finding, extraction, production, treatment, conversion, transportation, distribution and retail supply), demand and usage management, waste management, customer and other stakeholder management, and solutions thereto. The journal covers all forms of energy (non-renewable and renewable), forms of supply (centralised or decentralised), ownership patterns (public or private, cooperative, joint, or any other), market structures (formal, informal, integrated, disintegrated, national, international, local, etc.) and degress of commoditisation (e.g. internationally traded, regionally traded, non-traded, etc.). The journal aims to cover a wide range of subjects relevant to the management of the energy sector, including but not limited to: Management of scarce resources (economic, financial, human and natural), projects, activities and concerns (e.g. regulatory, social and environmental aspects), technologies and knowledge Business strategy, policy and planning as well as decision support systems for energy sector management Business organisation, structure and environment, and changes thereto Globalisation and multi-cultural management Management of innovation, change and transition.