Europe is heavily dependent on both oil and gas imports. This article identifies supply and demand shocks in the oil and gas market using monthly data (from January 2008 to December 2021) and explores their impact on clean energy stock returns in Europe. Our results show that a negative gas supply shock positively affects clean energy stocks, while a negative shock in global oil supply does not have a significant effect on clean energy stocks throughout the period studied. Moreover, both oil-specific demand shocks and gas-specific demand shocks positively affect the stock returns of clean energy companies. Finally, the positive effect of economic demand shocks on the stock returns of clean energy lasts longer in the model with oil price shocks than in the model with gas price shocks. The previous results suggest that clean energy is a substitute to gas and oil. Consequently, as prices increase, like in today’s context due to the Ukrainian conflict, we are to observe a sharp increase in clean energy returns.
