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International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks

机译：国际原油价格以及清洁能源和技术公司的股票价格：来自未知结构断裂的非线性协整检验的证据

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摘要

Increasing greenhouse gas emissions, exhaustibility and geo-politics induced price volatility of crude oil has magnified the importance of looking for alternative sources of energy. In this paper, we investigate the long term relationship of stock prices of alternative energy companies with oil prices in a multivariate framework. To this end, we use threshold cointegration tests, which endogenously incorporate possible regime shifts in long run relationship of underlying variables. In contrast to the findings of the previous study by Managi and Okimoto (2013), our results indicate presence of cointegration among the variables with two endogenous structural breaks. This study confirms that ignoring the presence of structural breaks in a long time series data, as has been done in previous study, can produce misleading results. In terms of causality, while the stock prices of alternative energy companies are impacted by technology stock prices, oil prices and interest rates in the short run, there is no causality running towards prices of alternative energy stock prices in the long run. The study discusses the possible reasons behind the empirical findings and concludes with a discussion on short run and long run investment opportunities for the investors. (C) 2016 Elsevier Ltd. All rights reserved.
机译：温室气体排放量的增加，可利用性和地缘政治导致的原油价格波动，已经扩大了寻找替代能源的重要性。在本文中，我们研究了多元框架下替代能源公司的股价与石油价格之间的长期关系。为此，我们使用阈值协整检验，该检验将内在变量与变量之间的长期关系内生性地纳入了可能的制度转变。与Managi和Okimoto（2013）先前研究的发现相反，我们的结果表明存在两个内源性结构断裂的变量之间存在协整。这项研究证实，像以前的研究一样，如果忽略长时间序列数据中存在的结构断裂，可能会产生误导性的结果。就因果关系而言，虽然短期内替代能源公司的股价会受到科技股价格，石油价格和利率的影响，但从长远来看，并没有因果关系导致替代能源公司的价格上涨。该研究讨论了实证研究结果背后的可能原因，并在最后对投资者的短期和长期投资机会进行了讨论。 （C）2016 Elsevier Ltd.保留所有权利。

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