Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China

被引：58

作者：

Zhang, Guofu ^{[1
]}

Du, Ziping ^{[2
]}

机构：

[1] Tianjin Univ Sci & Technol, Coll Econ & Management, Tianjin, Peoples R China

[2] Tianjin Univ Sci & Technol, Ctr Financial Engn & Risk Management, Tianjin, Peoples R China

来源：

ENERGY | 2017年 / 135卷

关键词：

New energy; Fossil fuel; High technology; Stock prices; TVP-SV-VAR model; UNIT-ROOT TESTS; OIL PRICE; CRUDE-OIL; CLEAN ENERGY; GREAT-MODERATION; MARKET RETURNS; GAS COMPANIES; CANADIAN OIL; TIME-SERIES; SHOCKS;

D O I：

10.1016/j.energy.2017.06.103

中图分类号：

O414.1 [热力学];

学科分类号：

摘要：

In this paper, a three-variable TVP-SV-VAR model is developed and estimated to investigate the dynamic relationships among the stock prices of new energy, high-technology and fossil fuel companies. The results show that the stock prices of new energy companies correlate more highly with high-technology stock prices than with coal and oil stock prices. We also find empirical evidence of Chinese stock market turbulence in 2015 through our analyses of stochastic volatilities and dynamic correlations. Moreover, the impulse responses of all three of our variables to all three of the shocks have meaningful shapes, indicating that the Chinese government is faced with the double pressure of economic development and environmental protection. (C) 2017 Elsevier Ltd. All rights reserved.

引用

页码：249 / 256

页数：8

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