Do Climate Stock and Low-Carbon Stock Respond to Oil Prices and Energy Stocks During an Oil Crisis? Implications for Sustainable Development

This research investigates the responsiveness of climate and low-carbon (green) stock returns to oil prices and conventional energy stock returns, focusing on both contemporaneous and causal relationships, during an oil crisis. Two methodologies are used: vector auto-regressive (VAR) for testing the causal relationship, and ordinary least squares (OLS) for investigating the contemporaneous relationship. The main empirical results suggest that green stocks have a bidirectional positive contemporaneous relationship with oil prices and energy stock returns but no significant bidirectional causal relationship. The results reveal that oil prices and energy stock returns play a larger role in contemporaneous than causal relationships with green stock returns. In addition, green stock returns seem to have a stronger positive relationship with energy stock return than oil prices.