Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model

被引：18
作者：
Ren, Boru [1 ]
Lucey, Brian [1 ,2 ,3 ,4 ]
机构：
[1] Trinity Coll Dublin, Trinity Business Sch, Dublin, Ireland
[2] Univ Econ Ho Chi Minh City, Inst Business Res, 59C Nguyen Dinh Chieu,Ward 6,Dist 3, Ho Chi Minh City, Vietnam
[3] Jiangxi Univ Econ & Finance, Inst Ind Econ, 169 East Shuanggang Rd, Nanchang 330013, Jiangxi, Peoples R China
[4] Abu Dhabi Univ, Zayed City, U Arab Emirates
来源：
ENERGY ECONOMICS | 2023年 / 119卷
关键词：
Herd behaviour; New energy; Clean energy; Time-varying; Stock market effect; STOCK-MARKET; BEHAVIOR; VOLATILITY; OIL; COMMODITY; IMPACT;
D O I：
10.1016/j.eneco.2023.106526
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we examine the herd behaviour of the Chinese renewable energy sector using both static and time-varying coefficient models. Examining daily data from January 05, 2015 to April 29, 2022, we find strong evidence of herding behaviour changing over time in this market. We find that herding asymmetry is more pronounced during up markets and among smaller firms. When within-industry herding weakens, large price movements in the overall stock market provide additional trading signals for herding formation in this sector.
引用
收藏
页数：11
相关论文
共 50 条
[31]   TIME-VARYING IMPACTS OF MACROECONOMIC VARIABLES ON STOCK MARKET RETURNS AND VOLATILITY: EVIDENCE FROM PAKISTAN [J].
Rashid, Abdul ;
Javed, Aamir ;
Jehan, Zainab ;
Iqbal, Uzma .
ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2022, 25 (03) :144-166
[32]   Time-varying beta in functional factor models: Evidence from China [J].
Horvath, Lajos ;
Li, Bo ;
Li, Hemei ;
Liu, Zhenya .
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 54
[33]   Time-varying beta in functional factor models: Evidence from China [J].
Horvath, Lajos ;
Li, Bo ;
Li, Hemei ;
Liu, Zhenya .
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 54
[34]   Commodity derivative valuation under a factor model with time-varying market prices of risk [J].
Mirantes, Andres G. ;
Poblacion, Javier ;
Serna, Gregorio .
REVIEW OF DERIVATIVES RESEARCH, 2015, 18 (01) :75-93
[35]   Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach [J].
Kulikova, M. V. ;
Kulikov, G. Yu. .
DIGITAL SIGNAL PROCESSING, 2022, 128
[36]   On the relationship between oil price, exchange rate and stock market performance in South Africa: Further evidence from time-varying and regime switching approaches [J].
Sanusi, Kazeem Abimbola ;
Kapingura, Forget Mingiri .
COGENT ECONOMICS & FINANCE, 2022, 10 (01)
[37]   Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility [J].
Shahzad, Farrukh ;
Bouri, Elie ;
Mokni, Khaled ;
Ajmi, Ahdi Noomen .
RESOURCES POLICY, 2021, 74
[38]   Does Herding Bias Drive the Firm Value? Evidence from the Chinese Equity Market [J].
Shah, Sayyed Sadaqat Hussain ;
Khan, Muhammad Asif ;
Meyer, Natanya ;
Meyer, Daniel F. ;
Olah, Judit .
SUSTAINABILITY, 2019, 11 (20)
[39]   Pricing of time-varying liquidity risk in Finnish stock market: new evidence [J].
Ahmed, Sheraz ;
Hirvonen, Jani ;
Hussain, Syed Mujahid .
EUROPEAN JOURNAL OF FINANCE, 2019, 25 (13) :1147-1165
[40]   Time-varying response of treasury yields to monetary policy shocks Evidence from the Tunisian bond market [J].
Mbarek, Lassaad ;
Marfatia, Hardik A. ;
Juko, Sonja .
JOURNAL OF FINANCIAL REGULATION AND COMPLIANCE, 2019, 27 (04) :422-442
12345