Return and volatility spillovers between Chinese and US clean energy related stocks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F22%3A10447670" target="_blank" >RIV/00216208:11230/22:10447670 - isvavai.cz</a>
Alternative codes found
RIV/61384399:31110/22:00057781
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=i4z75w2Pt-" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=i4z75w2Pt-</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2022.105911" target="_blank" >10.1016/j.eneco.2022.105911</a>
Alternative languages
Result language
angličtina
Original language name
Return and volatility spillovers between Chinese and US clean energy related stocks
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GX19-26812X" target="_blank" >GX19-26812X: Frontiers in Energy Efficiency Economics and Modelling - FE3M</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Economics
ISSN
0140-9883
e-ISSN
1873-6181
Volume of the periodical
108
Issue of the periodical within the volume
April 2022
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
12
Pages from-to
105911
UT code for WoS article
000795562300006
EID of the result in the Scopus database
2-s2.0-85125677679