Oil price risk and European low carbon company returns: evidence from the DCC-GARCH model
原油価格リスクと欧州低炭素企業の株式リターン：DCC-GARCHモデルによる証拠 (AI 翻訳)
Şahnaz Koçoğlu, Çiğdem Kurt Cihangir, Erginbay Uğurlu
🤖 gxceed AI 要約
日本語
本研究は、欧州の低炭素企業の株価が原油価格にどのように影響されるかを、DCC-GARCHモデルを用いて分析した。2019年1月から2024年4月までの日次データに基づき、低炭素企業の株価と原油価格の間に一貫した正の関係があることを発見した。この結果は、エネルギー転換期における投資家や政策立案者への示唆を提供する。
English
This study examines the impact of oil prices on the stock performance of European low-carbon companies using the DCC-GARCH model on daily data from January 2019 to April 2024. It finds a consistent positive relationship between low-carbon company stock prices and oil prices, highlighting sensitivity to crude oil markets. The findings offer insights for investors and policymakers navigating the energy transition.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
欧州の低炭素企業に焦点を当てた研究であり、日本のGX文脈では直接的な関連性は低いが、エネルギー転換期における低炭素企業の原油価格感応度は、日本企業のリスク管理や投資判断において参考となる可能性がある。
In the global GX context
This paper contributes to the global understanding of how low-carbon companies are financially linked to fossil fuel markets, relevant for transition finance and climate risk assessment. It provides empirical evidence from Europe that can inform international investors and policymakers about the interdependence between clean energy stocks and oil prices.
👥 読者別の含意
🔬研究者:Provides empirical evidence on the oil price sensitivity of low-carbon stocks, useful for sustainable finance and energy transition research.
🏢実務担当者:Investors in low-carbon indices can use these findings to manage portfolio risk related to oil price fluctuations.
🏛政策担当者:Policymakers should consider the financial linkages between low-carbon firms and oil markets when designing energy transition policies.
📄 Abstract（原文）
Purpose This study investigates the influence of oil prices on the stock performance of European low-carbon companies, using the STOXX Global Low Carbon Select index as a benchmark. Design/methodology/approach The analysis employs the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model, utilizing daily data from January 2, 2019, to April 17, 2024. Findings Results reveal a consistent positive relationship between the stock prices of low-carbon companies and oil prices, highlighting the sensitivity of these firms to fluctuations in crude oil markets. Practical implications The findings emphasize the need for further examination of variations within the STOXX Global Low Carbon Select index, offering insights for investors and policymakers navigating the evolving energy transition. Originality/value This research provides a novel contribution by focusing on companies with a low carbon footprint, an area that has received limited attention in prior studies. It enriches the understanding of how oil price dynamics affect the financial performance of low-carbon firms, thereby advancing knowledge on sustainable finance in the context of global climate and energy challenges.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.1108/sfr-09-2025-0027first seen 2026-05-05 19:11:44
gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。