Renewable Energy Financial Modelling: The Chinese Stock Price Case

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Renewable Energy Financial Modelling: The Chinese Stock Price Case

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Renewable Energy Financial Modelling: The Chinese Stock Price Case

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA18-05244S" target="_blank" >GA18-05244S: Inovativní přístupy k řízení úvěrových rizik</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Digitalization in Finance and Accounting

ISBN

978-3-030-55276-3

ISSN

2198-7246

e-ISSN

2198-7254

Počet stran výsledku

15

Strana od-do

55-69

Název nakladatele

Springer Science and Business Media B.V.

Místo vydání

Cham

Místo konání akce

Praha

Datum konání akce

24. 5. 2019

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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