Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/233096 
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. 011.2021
Publisher: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Abstract: 
The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d’Orey (1987; 1994) to assess which uncertainties are the potential drivers of stock returns under different market conditions. We find that the bioenergy and the oil & gas sectors are most sensitive to uncertainties. Both sectors are affected by financial, euro currency, geopolitical and economic policy uncertainties. Our results have several policy implications. Climate policy makers can prioritize policies that support bioenergy in order to reduce the potentially negative effects of uncertainties on bioenergy investment. Investors aiming to diversify their portfolio should be aware that many uncertainties are common drivers of bioenergy and oil & gas returns, the connectedness between assets of these energy types could therefore increase when uncertainty increases.
Subjects: 
Uncertainty
Macroeconomic Conditions
Renewable Energy
Stock Returns
Quantile Regression
JEL: 
C1
G15
Q2
Q3
Q43
Document Type: 
Working Paper

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