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Renewable Energy Financial Modelling: A China Case Study

Author

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  • Karel Janda

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Opletalova 26, 110 00, Prague, Czech Republic
    Department of Banking and Insurance, Faculty of Finance and Accounting, University of Economics, Prague, Namesti Winstona Churchilla 4, 130 67 Prague, Czech Republic)

  • Binyi Zhang

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Opletalova 26, 110 00, Prague, Czech Republic)

Abstract

In this paper, we analyse the dynamic relationship among the Chinese renewable energy stock prices, the U.S renewable energy stock prices, oil prices and technology stock prices. We apply a four-variable Lag Augmented Vector Autoregressive (LA-VAR) model to study the return interactions among the variables. Moreover, we also use Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to study the dynamic conditional volatility of the Chinese renewable energy stock prices. The empirical results indicate that both return and conditional volatility of the Chinese renewable energy stock prices can be explained by past movements of the U.S renewable energy stock prices and technology stock prices. In addition, we find significant evidence to support the existence of the GARCH effects in the Chinese renewable energy stock prices. However, only weak statistical evidence reveals the significance of the leverage effects in the Chinese renewable energy stock market.

Suggested Citation

  • Karel Janda & Binyi Zhang, 2019. "Renewable Energy Financial Modelling: A China Case Study," Working Papers IES 2019/7, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2019.
    • Handle: RePEc:fau:wpaper:wp2019_07
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    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/6029/lang/cs
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    More about this item

    Keywords

    Renewable energy; Financial modeling; China;
    All these keywords.

    JEL classification:

    • Q20 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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