Distributional Predictability and Quantile Connectedness of New Energy, Steam Coal, and High-Tech in China

Xiaohong Qi, Guofu Zhang () and Yuqi Wang
Additional contact information
Xiaohong Qi: College of Economics and Management, Tianjin University of Science and Technology, Tianjin 300453, China
Guofu Zhang: College of Economics and Management, Tianjin University of Science and Technology, Tianjin 300453, China
Yuqi Wang: School of International Economics and Trade, Xinjiang University of Finance and Economics, Urumqi 830026, China

Sustainability, 2022, vol. 14, issue 21, 1-16

Abstract: From a novel quantile perspective, this paper employs nonparametric quantile causality and quantile connectedness to investigate distributional predictability and spillover effects among new energy, steam coal, and high-tech under normal and tail conditions. We first identify the quantile causality: there is a unidirectional causality between the quantile orders 0.1 and 0.4 from technology high-tech to new energy, indicating that the stock price of technology companies has a predictive power of the stock prices of new energy companies when the latter is relatively low. Next, in terms of quantile connectedness, while the risk shocks to the system do not propagate strongly around the median, there are strong spillover effects in both tails. Moreover, high-tech and new energy contribute most of the system’s spillovers, and high-tech is the main net shock transmitter to all other variables. We further find that the strength of spillovers may depend on events such as China’s stock market rout of 2015 and the COVID-19 pandemic.

Keywords: new energy; steam coal; high-tech; nonparametric causality in quantiles; quantile connectedness (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2071-1050/14/21/14176/pdf (application/pdf)
https://www.mdpi.com/2071-1050/14/21/14176/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:14:y:2022:i:21:p:14176-:d:958233

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().