Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model

Boru Ren and Brian Lucey

Energy Economics, 2023, vol. 119, issue C

Abstract: In this paper, we examine the herd behaviour of the Chinese renewable energy sector using both static and time-varying coefficient models. Examining daily data from January 05, 2015 to April 29, 2022, we find strong evidence of herding behaviour changing over time in this market. We find that herding asymmetry is more pronounced during up markets and among smaller firms. When within-industry herding weakens, large price movements in the overall stock market provide additional trading signals for herding formation in this sector.

Keywords: Herd behaviour; New energy; Clean energy; Time-varying; Stock market effect (search for similar items in EconPapers)
JEL-codes: G10 G14 G40 Q42 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245

DOI: 10.1016/j.eneco.2023.106526

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