In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technologystock prices, endogenously controlling for structural changes in the market. To this end, we applyMarkov-switching vector autoregressive models to the economic system consisting of oil prices, cleanenergy and technology stock prices, and interest rates. The results indicate that there was a structuralchange in late 2007, a period in which there was a significant increase in the price of oil. In contrast to theprevious studies, we find a positive relationship between oil prices and clean energy prices afterstructural breaks. There also appears to be a similarity in terms of the market response to both cleanenergy stock prices and technology stock prices.