Return and volatility spillovers between Chinese and US clean energy related stocks

Karel Janda, Ladislav Krištoufek () and Binyi Zhang ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper aims to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy-related and technology companies in China and U.S. financial markets. We apply three multivariate GARCH model specifications (CCC, DCC and ADCC) to investigate the return and volatility spillovers among price and return series. We use rolling window analysis to forecast out-of-sample one-step-ahead dynamic conditional correlations and time-varying optimal hedge ratios. Our results suggest that Invesco China Technology ETF (CQQQ) is the best asset to hedge Chinese clean energy stocks followed by WTI, ECO, and PSE. Our results are reasonably robust to the choice of different model refits and forecast length of rolling window analysis. Our empirical findings provide investors and policymakers with the systematic understanding of return and volatility connectedness between China and U.S. clean energy stock markets.

Keywords: Clean energy; Hedge effectiveness; Rolling window analysis (search for similar items in EconPapers)
JEL-codes: C22 G11 Q41 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2022-02
New Economics Papers: this item is included in nep-ene, nep-env, nep-ore and nep-rmg
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Citations: View citations in EconPapers (22)

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Journal Article: Return and volatility spillovers between Chinese and U.S. clean energy related stocks (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2022-17

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