Oil Prices and Stock Prices of Alternative Energy - 经济与管理论丛.PDF

經濟與管理論叢(Journal of Economics and Management), 2012, Vol. 8, No. 2, 221-258 Oil Prices and Stock Prices of Alternative Energy Companies: Time Varying Relationship with Recent Evidence Alex YiHou Huang Finance Discipline, College of Management, Yuan Ze University, Taiwan Chiao-Ming Cheng Ph.D. Program, College of Management, Yuan Ze University, Taiwan Wen-Cheng Hu Ph.D. Program, College of Management, Yuan Ze University, Taiwan Chih-Chun Chen Department of Management, Fo Guang University, Taiwan This paper examines the recent interactive relationships between the crude oil prices and stock performances of alternative energy companies. The examination was conducted from 2001 to mid-2010, and the sample period is divided into three sub-periods according to two Middle East wars. Different dynamics of oil prices across these sub-periods are significantly documented for the first time. In recent years, oil prices have become significantly responsible for the stock performances of alternative energy companies. This finding suggests that the stock market investors of the alternative energy sector have only recently incorporated oil price shocks into their trading decisions. The volatility spillover effect between oil prices and the stock index of the alternative energy sector has also been established in recent years. This latest evidence on the interaction between the two markets is shown for the first time in the literature and should be well used by market participants. Keywords: crude oil price, alternative energy, oil stock index, VAR JEL classification: Q43, P28, G10 222 經濟與管理論叢(Journal of Economics and Man