The asymmetric impact of crude oil futures on the clean energy stock market: Based on the asymmetric variable coefficient quantile regression model

Under the current carbon neutrality goal, energy structure transformation and international oil price fluctuations make research on the dependence of crude oil and clean energy has important theoretical and practical significance. This study proposes an asymmetric variable coefficient quantile regression model to measure the dependence and asymmetry of crude oil futures and clean energy stock markets under different market conditions. The results show that there is a positive dependence between crude oil futures and clean energy which is asymmetric in quantile. The positive and negative returns of crude oil futures have a time-varying asymmetric impact on the clean energy stock markets. In addition, the portfolio results show that options involving the Chinese clean energy market has a lower VaR.