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Modeling return and volatility spillover networks of global new energy companies

Jiang-Bo Geng, Ya-Juan Du, Qiang Ji () and Dayong Zhang ()

Renewable and Sustainable Energy Reviews, 2021, vol. 135, issue C

Abstract: This paper constructs the returns and volatility system networks of the global new energy companies using the connectedness network approach. Then, it measures the information spillover direction and degree among the global new energy companies for the two systems, furthermore, exploring the rolling-windows estimating method to investigate the time-varying characteristics of the information spillover mechanism. It selects 20 large energy companies with a weighting greater than 1.24% from the NEX index and obtains the weekly stock prices for these companies from November 24, 2006 to January 4, 2019. Some new findings can be obtained: (1) The total information spillover degree among the global new energy companies is very high, especially for the volatility system. (2) The static and dynamic asymmetry indexes confirm the existence of asymmetric effect for the information transmission mechanism, which shows that the bad news does contribute more to the systemic risk of global new energy company stock market than the good news. (3) Some new energy companies act as net information transmitters, which are relatively important in the networks. These new findings could provide a reference for investors in the new energy sector to develop specific portfolios and risk management, as well as advise relevant policy makers.

Keywords: New energy companies; Connectedness network; Dynamic spillover; Asymmetric analysis (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.rser.2020.110214

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