Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective

Jing Deng, Huike Zheng and Xiaoyun Xing

Finance Research Letters, 2023, vol. 55, issue PB

Abstract: This paper conducts tail risk spillover and systemic importance analysis based on the firm-level data of global clean energy system. The tail risk network is constructed based on the ΔCoVaR method, where the correlation is calculated from three perspectives: market, sector and institution. Moreover, the systematically important institutions are identified through a PageRank-based approach. We find that two industries contribute the largest in the risk transmission process, and most of the identified important institutions come from these industries as well. Also, it is observed that the COVID-19 pandemic and the Russia–Ukraine conflict would render different impacts on the risk contagion.

Keywords: Clean energy companies; Tail risk spillover; Systemic importance; The COVID-19 pandemic; The Russia–Ukraine conflict (search for similar items in EconPapers)
JEL-codes: C32 C61 D85 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003628

DOI: 10.1016/j.frl.2023.103990

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