Risk spillover effect of the new energy market and its hedging effectiveness: New evidence from industry chain

被引：2
作者：
Ye, Rendao [1 ]
Xiao, Jian [1 ]
Zhang, Yilan [1 ]
机构：
[1] Hangzhou Dianzi Univ, Sch Econ, Hangzhou 310018, Zhejiang, Peoples R China
来源：
ECONOMIC ANALYSIS AND POLICY | 2024年 / 83卷
关键词：
New energy; Risk spillover; Hedging effectiveness; Industry chain; IMPULSE-RESPONSE ANALYSIS; INVESTOR SENTIMENT; STOCK-MARKET; INTERCONNECTEDNESS; CONNECTEDNESS; INFORMATION; FUTURES; OIL;
D O I：
10.1016/j.eap.2024.08.009
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
During China's industrial transformation, studying risk spillover effects and clarifying risk contagion pathways within the new energy industry chain is critical for promoting high-quality development in the new energy. The risk transmission mechanism of the new energy industry chain is explored by constructing a time-frequency index using a time-varying parameter vector autoregressive model in this paper. Additionally, we also further analyze the portfolio and hedging effectiveness of the new energy market. The findings reveal that, first, the downstream market serves as the primary risk source, propagating risk through the industry chain to the midstream and upstream sectors within the new energy industry chain contagion system. Second, the risk spillover effect of the new energy market has significant heterogeneity and time- varying due to the impact of short-term frequency domain drivers and extreme events. Third, the portfolio significantly reduces the investment risk of a single asset. With the extension of the investment horizon, investors' portfolio weights in the upstream, midstream and downstream industries gradually tend to be even.
引用
收藏
页码：1061 / 1079
页数：19
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