The impact of oil price changes on stock returns of new energy industry in China: A firm-level analysis

摘要

This paper aims to investigate the impact of oil price changes on the new energy industry in China from the perspective of firm-level analysis. Specifically, we firstly evaluate the contemporaneous effect of oil price changes on the stocks of the new energy industry and find the heterogeneous performance of new energy firms with respect to oil prices. Moreover, we find a phenomenon that the lagged effect of oil prices on most new energy firms in the short term is stronger than that in the long term. In addition, we demonstrate the strong asymmetric effect of oil prices on most new energy firms. Finally, we find that state-owned firms are more robust to the asymmetric effect of oil prices, whereas domestic privately-owned firms are more robust to negative oil price returns. (C) 2019 Elsevier B.V. All rights reserved.