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Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach

Author

Listed:
  • Kongsheng Zhang

    (Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233041, China)

  • Xiaorui Xu

    (Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233041, China)

  • Mingtao Zhao

    (Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233041, China
    School of Statistics and Data Science, Ningbo University of Technology, Ningbo 315211, China)

Abstract

In this article, an R-vine copula model is proposed to detect the nonlinear interrelationships between the oil market and five Chinese new-energy-related stock markets from 2017 to 2022, i.e., photovoltaic, new energy vehicles, energy storage, wind power, and nuclear power industries. Firstly, the transmission of downward and upward risk spillover effects (RSEs) is measured from the oil market to the five Chinese new-energy-related stock markets. Subsequently, a CoVaR backtesting methodology is developed to demonstrate the availability of the R-vine copula-CoVaR model. The empirical studies strongly show that the oil market exhibits a significant asymmetric RSE on the five Chinese new-energy-related stock markets. Furthermore, different Chinese new-energy-related stock markets have varying responses to the positive and negative impacts of the oil market. Specifically, the photovoltaic, energy storage, and wind power industries are more sensitive to such adverse effects. However, the new energy vehicle and nuclear power industries are more likely to be positively affected.

Suggested Citation

  • Kongsheng Zhang & Xiaorui Xu & Mingtao Zhao, 2025. "Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach," Mathematics, MDPI, vol. 13(12), pages 1-19, June.
    • Handle: RePEc:gam:jmathe:v:13:y:2025:i:12:p:1934-:d:1676023
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