Identifying influential energy stocks based on spillover network
Renwu Tang and
International Review of Financial Analysis, 2020, vol. 68, issue C
This study investigates the influential energy stocks in the China stock market between 2005.1.4 and 2018.4.3. The influential energy stock is defined as a stock whose fluctuations could lead to the rises and falls of many other stocks in the energy sector, which have attracted much attention from investors and policymakers. To achieve this objective, the BEKK-GARCH model is used to capture the volatility spillover among energy stocks, the more spillover correlations a stock has the more influential it is. Furthermore, complex network theory is introduced to give more specific and precise quantifications of the stock influence. Validity testing of the methods shows that the PageRank algorithm is the most suitable method for identifying influential energy stocks. The results reveal the time-varying features of influential energy stocks, which indicate the weak momentum effect and strong reversal effect of the China stock market. Furthermore, most of the top-10 influential energy stocks are belong to the industry of power and utilities, and the investors are suggested to make reverse trading strategies around the influential electricity stocks. Moreover, petroleum exploitation and petroleum processing are the most two influential subindustries, and the policymakers are suggested to pay much attention to prevent the aggregate risks of the oil stocks which belong to these two subindustries.
Keywords: Energy stock; Influential stock; Complex network; Volatility spillover; BEKK-GARCH model (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305179
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