Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China
Yufeng Chen (),
Wenqi Li () and
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Yufeng Chen: College of Business Administration, Capital University of Economics and Business, Beijing, 100070, China; School of Economics and Center for Studies of Modern Business, Zhejiang Gongshang University, Hangzhou, 310018, China.
Wenqi Li: School of Economics, Zhejiang Gongshang University, Hangzhou, 310018, China.
Xi Jin: Department of Economics, New York University, New York, 10044, US.
Journal for Economic Forecasting, 2018, issue 2, 43-62
Using data from the crude oil market and the stock market in China, this paper employed VAR model and multivariate GARCH models (including BEKK, DCC, and CCC) to analyze the mean and volatility spillover effects between crude oil future prices and new energy stock prices in China. The BEKK model is found to fit the data the best, with the comparison of three types of GARCH models. The result shows that there is unilateral mean and volatility spillover effects from crude oil future prices to new energy stock prices in China. Then, the time-varying conditional correlations are constructed to offer a deeper insight for the relationship of crude oil futures market and Chinese new energy stock market. In addition, a dollar long position of new energy stock could be a hedge with twelve cents short position of crude oil. These empirical findings can be useful to both investors and policy-makers for the current and especially future economic and financial environments.
Keywords: oil price; new energy stock; volatility; multivariate GARCH; VAR (search for similar items in EconPapers)
JEL-codes: C32 C58 G17 Q4 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2018:i:2:p:43-62
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