Renewable Energy Financial Modelling: The Chinese Stock Price Case
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F21%3A10458071" target="_blank" >RIV/00216208:11230/21:10458071 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1007/978-3-030-55277-0_6" target="_blank" >https://doi.org/10.1007/978-3-030-55277-0_6</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-030-55277-0_6" target="_blank" >10.1007/978-3-030-55277-0_6</a>
Alternative languages
Result language
angličtina
Original language name
Renewable Energy Financial Modelling: The Chinese Stock Price Case
Original language description
In this paper, we analyse the dynamic relationship among the Chinese renewable energy stock prices, the US renewable energy stock prices, oil prices and technology stock prices. We apply a four-variable lag-augmented vector autoregressive (LA-VAR) model to study the return interactions among the variables. Moreover, we also use generalised autoregressive conditional heteroskedasticity (GARCH) models to study the dynamic conditional volatility of the Chinese renewable energy stock prices. The empirical results indicate that both return and conditional volatility of the Chinese renewable energy stock prices can be explained by past movements of the US renewable energy stock prices and technology stock prices. In addition, we find significant GARCH effects exist in the Chinese renewable energy stock prices. However, we only find weak statistical evidence to reveal the significance of the leverage effects in the market. (C) 2021, The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA18-05244S" target="_blank" >GA18-05244S: Innovative Approaches to Credit Risk Management</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Digitalization in Finance and Accounting
ISBN
978-3-030-55276-3
ISSN
2198-7246
e-ISSN
2198-7254
Number of pages
15
Pages from-to
55-69
Publisher name
Springer Science and Business Media B.V.
Place of publication
Cham
Event location
Praha
Event date
May 24, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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