Takashi Kanamura 교수

We propose a new supply and demand-based correlation model of clean energy indices and energy prices with the influence of energy on clean energy business including renewables. Empirical studies estimate the model parameters using the stock indices and energy prices including S&P Global Clean Energy Index (GCE), Wilderhill Clean Energy Index (ECO), S&P/TSX Renewable Energy and Clean Technology Index (TXCT), S&P 500, WTI crude oil prices, and Henry Hub (HH) natural gas prices. Results show the co

This article proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades can be easily calculated if the first hitting time probability density of the stochastic process is given. The authors then modify the profit model for a particular market—the energy futures market. It

This paper examines the risk and return profiles of energy companies with renewable energy (RE) investment in developing countries taking the Philippines as our country case study. First, we analyze the impact of the global RE project specific risk and country risk on RE projects using a simple capital asset pricing model (CAPM) by benchmarking stock returns of these companies to either the global S&P Global Clean Energy (S&P GCE) index or to the local Philippine Stock Exchange (PSE) ind

This paper theoretically and empirically revisits carbon pricing from the supply-side perspective for carbon assets to solve the recent low price issue which may delay the development of emission reduction technologies in the sense of marginal abatement costs. We propose a carbon pricing model linked to crude oil prices, which has historically been employed in supply-side driven pricing of long-term contracts for early-stage energy trading. Since the model is designed to hold carbon prices betwe