Risk Spillover Effect from Oil to Chinese New-Energy-Related Stock Markets: An R-vine Copula-Based CoVaR Approach

Kongsheng Zhang, Xiaorui Xu and Mingtao Zhao ()
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Kongsheng Zhang: Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233041, China
Xiaorui Xu: Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233041, China
Mingtao Zhao: Institute of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233041, China

Mathematics, 2025, vol. 13, issue 12, 1-19

Abstract: In this article, an R-vine copula model is proposed to detect the nonlinear interrelationships between the oil market and five Chinese new-energy-related stock markets from 2017 to 2022, i.e., photovoltaic, new energy vehicles, energy storage, wind power, and nuclear power industries. Firstly, the transmission of downward and upward risk spillover effects (RSEs) is measured from the oil market to the five Chinese new-energy-related stock markets. Subsequently, a CoVaR backtesting methodology is developed to demonstrate the availability of the R-vine copula-CoVaR model. The empirical studies strongly show that the oil market exhibits a significant asymmetric RSE on the five Chinese new-energy-related stock markets. Furthermore, different Chinese new-energy-related stock markets have varying responses to the positive and negative impacts of the oil market. Specifically, the photovoltaic, energy storage, and wind power industries are more sensitive to such adverse effects. However, the new energy vehicle and nuclear power industries are more likely to be positively affected.

Keywords: risk spillover effect; oil market; stock markets; R-vine copula; CoVaR (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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