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Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations

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  • Karel Janda
  • Ladislav Kristoufek
  • Binyi Zhang

Abstract

Objective of this paper is to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy related and technology companies in China and U.S. financial markets. Three different multivariate Generalised Autoregression Conditional Heteroscedasticity (VAR-MGARCH) model specifications are used to investigate the return and volatility spillovers among series. By comparing these three models, we find that the VAR(1)-DCC(1,1) model with the skewed Student t distribution fits the data the best. The results of DCC estimation reveal that, on average, a $1 long position in Chinese clean energy companies in the Chinese financial market can be hedged for 18 cents with a short position in clean energy index in the U.S market. Our empirical findings provide investors and policymakers with the systematic understanding of spillover effects between China and U.S. clean energy stock markets.

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  • Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2021. "Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations," FFA Working Papers 4.001, Prague University of Economics and Business, revised 17 Jan 2022.
    • Handle: RePEc:prg:jnlwps:v:4:y:2022:id:4.001
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    Cited by:

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    6. Wei Jiang & Ruijie Gao & Chao Lu, 2022. "The Analysis of Causality and Risk Spillover between Crude Oil and China’s Agricultural Futures," IJERPH, MDPI, vol. 19(17), pages 1-16, August.
    7. Xiaohong Qi & Guofu Zhang & Yuqi Wang, 2022. "Distributional Predictability and Quantile Connectedness of New Energy, Steam Coal, and High-Tech in China," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    8. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy," Energy Economics, Elsevier, vol. 129(C).
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    More about this item

    Keywords

    Clean energy; Oil; Technology; Stock prices; VAR-MGARCH;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q20 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - General

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