Title: The dynamic relationship between oil prices and returns on renewable energy companies

Authors: Hanène Mejdoub; Ahmed Ghorbel

Addresses: Faculty of Management and Economic Sciences, Department of Finance, University of Sfax, Sfax 3018, Tunisia ' Faculty of Management and Economic Sciences, Department of Quantitative Methods, University of Sfax, Sfax 3018, Tunisia

Abstract: The aim of this paper is to apprehend the behaviour of returns prices of renewable energy companies and their co-movement with oil prices before and after the 2008-2009 global financial crisis (GFC). Using daily data set over the time period from November 2003 to March 2016, we apply TGARCH-based-Vine copula model to examine tail dependence between oil prices (WTI) and three renewable energy indices. The results provide evidence of symmetric tail dependence for all sample, indicating the evidence of upper and lower tail dependence. However, during the crisis period, our findings reveal that the lower tail dependence for WTI and renewable energy returns prices is practically larger than the upper one. Moreover, the lower tail dependence is improved considerably in the financial crisis of 2008-2009. Therefore, the abrupt drop in oil prices (WTI) entail mainly to similar decrease in the renewable energy return prices during downturn markets.

Keywords: renewable energy indices; oil price; co-movement; tail dependence; vine copula; GFC; global financial crisis.

DOI: 10.1504/AJFA.2018.090395

American Journal of Finance and Accounting, 2018 Vol.5 No.2, pp.173 - 192

Received: 05 Jun 2017
Accepted: 17 Oct 2017

Published online: 13 Mar 2018 *

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