Dynamic interplay between Chinese energy, renewable energy stocks, and commodity markets: Time-frequency causality study

Yanan Chen and Haozhi Qi

Renewable Energy, 2024, vol. 228, issue C

Abstract: In this study, we explore the interconnections among Chinese energy stocks, renewable energy stocks, and commodity markets by employing time-frequency connectedness and causality-in-quantiles methodologies. This research contributes to the existing body of literature by scrutinizing the time-varying causal relationships between Chinese energy/renewable energy stocks and commodity markets. Utilizing data spanning from January 2011 to April 2023, we discover that while the energy stock market typically exhibits susceptibility to external influences over the long term, it plays a contributing role in the short term. Notably, during the COVID-19 period, there were more pronounced long-term repercussions across the markets. Furthermore, the influence of specific markets has undergone changes; for instance, petrochemical stocks exert a significant impact on commodity markets, whereas renewable energy stocks exhibit minimal influence. Insights derived from quantile causality analysis underscore the predictive utility of stock markets in forecasting the movements of commodity markets across a broad quantile of commodities.

Keywords: Interrelationships; Chinese energy stocks; Renewable energy stocks; Commodity markets; Cross-quantile granger causality; Time-frequency connectedness (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:renene:v:228:y:2024:i:c:s0960148124006463

DOI: 10.1016/j.renene.2024.120578

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