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Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model

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  • Ren, Boru
  • Lucey, Brian

Abstract

In this paper, we examine the herd behaviour of the Chinese renewable energy sector using both static and time-varying coefficient models. Examining daily data from January 05, 2015 to April 29, 2022, we find strong evidence of herding behaviour changing over time in this market. We find that herding asymmetry is more pronounced during up markets and among smaller firms. When within-industry herding weakens, large price movements in the overall stock market provide additional trading signals for herding formation in this sector.

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  • Ren, Boru & Lucey, Brian, 2023. "Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model," Energy Economics, Elsevier, vol. 119(C).
    • Handle: RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245
    DOI: 10.1016/j.eneco.2023.106526
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    More about this item

    Keywords

    Herd behaviour; New energy; Clean energy; Time-varying; Stock market effect;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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