期货合约
溢出效应
原油
股票市场
波动性(金融)
经济
社会联系
金融经济学
业务
货币经济学
微观经济学
生物
石油工程
工程类
古生物学
心理治疗师
马
心理学
作者
Jingpeng Li,Muhammad Umar,Jiale Huo
出处
期刊:Energy Economics
[Elsevier BV]
日期:2023-03-01
卷期号:119: 106568-106568
被引量:37
标识
DOI:10.1016/j.eneco.2023.106568
摘要
With the increasing severe pollution, the new energy industry is greatly favored by the government and investors. Using the static network connectedness method of Diebold and Yilmaz (2009, 2012, 2014) and the dynamic network connectedness approach of Antonakakis et al. (2020), this paper discusses the return and volatility spillover effects between China's crude oil futures market and 7 Chinese green energy stock markets. In terms of return spillover effects, we find firstly that Chinese green energy stock is able to dominate the price changes in the crude oil market, and the dominate role of natural gas stock market is stronger. Secondly, rather than changing the dominant role of the green energy stock market on crude oil futures market price changes, the outbreak of COVID-19 in 2020 strengthened that dominant role. For the volatility spillover effects, the results of static volatility spillover index show that the crude oil futures market volatility is mainly dominated by the green energy equity market, but the dynamic connectedness indices results show that the volatility in the international energy market can strengthen the dominant role of the crude oil futures on the volatility of the green energy stock market. Finally, we can find that both the outbreak of COVID-19 in 2020 and the online operation of the Chinese carbon trading market in 2021 can strengthen the dominant role of the green energy stock market on the crude oil futures market volatility.
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