Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations

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

No 4.001, FFA Working Papers from Prague University of Economics and Business

Abstract: Objective of this paper is 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. Three different multivariate Generalised Autoregression Conditional Heteroscedasticity (VAR-MGARCH) model specifications are used to investigate the return and volatility spillovers among series. By comparing these three models, we find that the VAR(1)-DCC(1,1) model with the skewed Student t distribution fits the data the best. The results of DCC estimation reveal that, on average, a $1 long position in Chinese clean energy companies in the Chinese financial market can be hedged for 18 cents with a short position in clean energy index in the U.S market. Our empirical findings provide investors and policymakers with the systematic understanding of spillover effects between China and U.S. clean energy stock markets.

Keywords: Clean energy; Oil; Technology; Stock prices; VAR-MGARCH (search for similar items in EconPapers)
JEL-codes: G11 Q20 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2021-11-16, Revised 2022-01-17
New Economics Papers: this item is included in nep-cna, nep-ene, nep-env, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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