The spillover effect between Chinese crude oil futures market and Chinese green energy stock market

Jingpeng Li, Muhammad Umar and Jiale Huo

Energy Economics, 2023, vol. 119, issue C

Abstract: 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.

Keywords: Static network connectedness; Dynamic network connectedness; Crude oil; Green energy stock market; Spillover (search for similar items in EconPapers)
JEL-codes: C22 C53 C58 G11 G12 G17 Q43 Q47 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S014098832300066X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300066x

DOI: 10.1016/j.eneco.2023.106568

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().