Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203226
Authors: 
Janda, Karel
Zhang, Binyi
Year of Publication: 
2019
Series/Report no.: 
IES Working Paper 07/2019
Abstract: 
In this paper, we analyse the dynamic relationship among the Chinese renewable energy stock prices, the U.S renewable energy stock prices, oil prices and technology stock prices. We apply a four-variable Lag Augmented Vector Autoregressive (LAVAR) model to study the return interactions among the variables. Moreover, we also use Generalized 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 U.S renewable energy stock prices and technology stock prices. In addition, we find significant evidence to support the existence of the GARCH effects in the Chinese renewable energy stock prices. However, only weak statistical evidence reveals the significance of the leverage effects in the Chinese renewable energy stock market.
Subjects: 
Renewable energy
Financial modeling
China
JEL: 
Q20
G15
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
655.04 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.