{"title":"COVID-19 石油和可再生能源股票之间的依赖关系:C-Vine Copula 方法","authors":"Saif Siddiqui, Rajbeer Kaur","doi":"10.1177/09722629231163998","DOIUrl":null,"url":null,"abstract":"This article analyses the dependence structure between traditional energy prices traditional oil indices and renewable energy stock indices employing Canonical Vine (C-Vine) copula based GARCH approach. The analysis is conducted before and during-COVID-pandemic period. Renewable energy stock is represented by SPGCE and CLEANTECH index, whereas traditional energy is represented by WTI crude oil and OVX. The empirical analysis indicated increasing asymmetric dependence between WTI crude and renewable energy indices during COVID-19. However, WTI crude oil is not found to be the primary determinant for influencing renewable energy stocks. In fact, we find a strong association between SPGCE and CLEANTECH and degree of dependence escalated during COVID-19 period. Besides this, the dependence structure between WTI crude and CLEANTECH changes from the upper tail dependence to lower tail dependence signifying the consequences of low economic activities on the technology sector. Furthermore, the dependence between OVX and SPGCE conditional on WTI reveal the scope of diversification as dependence parameters are insignificant. These findings are robust considering alternative GARCH specifications and alternative oil future benchmark and renewable energy stock index. The results provide useful implications for the energy policymakers and investors.","PeriodicalId":503812,"journal":{"name":"Vision: The Journal of Business Perspective","volume":"8 4","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"COVID-19 and Dependence Between Oil and Renewable Energy Stocks: C-Vine Copula Approach\",\"authors\":\"Saif Siddiqui, Rajbeer Kaur\",\"doi\":\"10.1177/09722629231163998\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article analyses the dependence structure between traditional energy prices traditional oil indices and renewable energy stock indices employing Canonical Vine (C-Vine) copula based GARCH approach. The analysis is conducted before and during-COVID-pandemic period. Renewable energy stock is represented by SPGCE and CLEANTECH index, whereas traditional energy is represented by WTI crude oil and OVX. The empirical analysis indicated increasing asymmetric dependence between WTI crude and renewable energy indices during COVID-19. However, WTI crude oil is not found to be the primary determinant for influencing renewable energy stocks. In fact, we find a strong association between SPGCE and CLEANTECH and degree of dependence escalated during COVID-19 period. Besides this, the dependence structure between WTI crude and CLEANTECH changes from the upper tail dependence to lower tail dependence signifying the consequences of low economic activities on the technology sector. Furthermore, the dependence between OVX and SPGCE conditional on WTI reveal the scope of diversification as dependence parameters are insignificant. These findings are robust considering alternative GARCH specifications and alternative oil future benchmark and renewable energy stock index. The results provide useful implications for the energy policymakers and investors.\",\"PeriodicalId\":503812,\"journal\":{\"name\":\"Vision: The Journal of Business Perspective\",\"volume\":\"8 4\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-06-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Vision: The Journal of Business Perspective\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1177/09722629231163998\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Vision: The Journal of Business Perspective","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/09722629231163998","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
COVID-19 and Dependence Between Oil and Renewable Energy Stocks: C-Vine Copula Approach
This article analyses the dependence structure between traditional energy prices traditional oil indices and renewable energy stock indices employing Canonical Vine (C-Vine) copula based GARCH approach. The analysis is conducted before and during-COVID-pandemic period. Renewable energy stock is represented by SPGCE and CLEANTECH index, whereas traditional energy is represented by WTI crude oil and OVX. The empirical analysis indicated increasing asymmetric dependence between WTI crude and renewable energy indices during COVID-19. However, WTI crude oil is not found to be the primary determinant for influencing renewable energy stocks. In fact, we find a strong association between SPGCE and CLEANTECH and degree of dependence escalated during COVID-19 period. Besides this, the dependence structure between WTI crude and CLEANTECH changes from the upper tail dependence to lower tail dependence signifying the consequences of low economic activities on the technology sector. Furthermore, the dependence between OVX and SPGCE conditional on WTI reveal the scope of diversification as dependence parameters are insignificant. These findings are robust considering alternative GARCH specifications and alternative oil future benchmark and renewable energy stock index. The results provide useful implications for the energy policymakers and investors.