Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach

Tiantian Liu and Shigeyuki Hamori
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Tiantian Liu: Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan

Energies, 2021, vol. 14, issue 12, 1-21

Abstract: We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach. The empirical results indicate that the average total connectedness is higher in the volatility system than in the return system. The investor sentiment has a weak impact on clean energy stock. Our results show that the dynamic total connectedness across assets in the system varies with time. Furthermore, the dynamic total connectedness increases significantly during financial turmoil. Dynamic total volatility connectedness is more sensitive to financial turmoil. By comparing the connectedness estimated by the TVP-VAR model with the rolling-window VAR model, we find the dynamic total return connectedness of the TVP-VAR model is similar to the estimated results of a 200 day rolling-window VAR model.

Keywords: clean energy; investor sentiment; TVP-VAR; dynamic connectedness (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (8)

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