RT Journal Article
T1 Interdependence between renewable-energy and low-carbon stock prices
A1 Reboredo Nogueira, Juan Carlos
A1 Ugolini, Andrea
A1 Chen, Yifei
K1 Renewables
K1 Low carbon
K1 Interdependence
K1 Copulas
K1 Conditional quantiles
AB In the transition to a low-carbon economy, climate-resilient investors may be inclinedto buy renewable-energy or other low-carbon assets. As the diversification benefits of investmentpositions in those assets depend on interdependence between their market prices, we explore thatinterdependence in the European and USA stock markets. We model the dependence structure usingbivariate copula functions and evaluate price spillovers between those markets using a conditionalquantile dependence approach that accounts for the reciprocal effects of price movements in thosemarkets under normal and extreme market scenarios. Our empirical evidence for the period2010–2019 indicates that European renewable-energy and low-carbon stocks co-move; upwardand downward movements in low-carbon asset prices have sizeable effects on renewable-energyasset prices, and vice versa, although effects are smaller. In contrast, for the USA we find evidenceof non-interdependence, with no significant upward or downward price spillover effects betweenrenewable-energy and low-carbon stocks. Our empirical findings provide useful insights for thedesign of carbon-resilient portfolios and risk management strategies, and also for implementation ofpublic funding policies to support the transition to a low-carbon economy
PB MDPI
YR 2019
FD 2019
LK http://hdl.handle.net/10347/21170
UL http://hdl.handle.net/10347/21170
LA eng
NO Reboredo, J.C.; Ugolini, A.; Chen, Y. Interdependence Between Renewable-Energy and Low-Carbon Stock Prices. Energies 2019, 12, 4461
NO Financial support from the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación yUniversidades) is acknowledged for research project RTI2018-100702-B-I00, co-funded by the European RegionalDevelopment Fund (ERDF/FEDER). Juan C. Reboredo acknowledges funding from the Xunta de Galicia forresearch project CONSOLIDACIÓN 2019 GRC GI-2060 Análise Económica dos Mercados e Institucións—AEMI(ED431C 2019/11). Andrea Ugolini acknowledges financial support from the Brazilian National Council forScientific and Technological Development (CNPq)
DS Minerva
RD 28 abr 2026