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Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis

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Listed:
  • Zeyi Fu

    (University of Science and Technology Beijing)

  • Hongli Niu

    (University of Science and Technology Beijing)

  • Weiqing Wang

    (University of Science and Technology Beijing)

Abstract

Despite the upgrading of the attention and investment of new energy in Chinese public, its market efficiency and associations with other assets are relatively rarely explored. This paper, firstly, explores the multifractal feature and market efficiency of Chinese new energy market (NEI) by the multifractal detrended fluctuation analysis. Secondly, the multifractal cross-correlation analysis is performed to discuss the multifractality of cross-correlations between NEI and crude oil, external new energy indices (Global (SPGCE), United States (ECO) and Europe (ERIX)) and safe-haven asset (GOLD) respectively. The results show that Chinese new energy market has obvious multifractality with low market efficiency, which is mainly sourced from long-range correlation. It has the strongest linkages with external new energy markets and most insignificant association with gold. The heterogeneous sources contribute to their multifractal cross-correlations. It provides useful enlightenment for decision-makers to implement energy policy and reform, and for investors to make investment decisions.

Suggested Citation

  • Zeyi Fu & Hongli Niu & Weiqing Wang, 2023. "Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1287-1311, October.
    • Handle: RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10301-2
    DOI: 10.1007/s10614-022-10301-2
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