Publication detail

Janda, K. & Kristoufek, L. & Zhang, B.: Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks

Author(s): prof. Ing. Karel Janda M.A., Dr., Ph.D.,
prof. PhDr. Ladislav Krištoufek Ph.D.,
MSc. Binyi Zhang ,
Type: Articles in journals with impact factor
Year: 2022
Number: 108
ISSN / ISBN: 0140-9883
Published in: Energy Economics 108:105911 PDF
Publishing place:
Keywords: Clean energy, Hedge effectiveness, Rolling window analysis.
JEL codes: C22, G11, Q41
Suggested Citation: Janda, K., Kristoufek, L., & Zhang, B. (2022). Return and volatility spillovers between Chinese and US clean energy related stocks. Energy Economics, 105911.
Grants: GAUK 862119 (2019-2021) Renewable Energy Financial Modeling
Abstract: This paper aims to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy-related and technology companies in China and U.S. financial markets. We apply three multivariate GARCH model specifications (CCC, DCC and ADCC) to investigate the return and volatility spillovers among price and return series. We use rolling window analysis to forecast out-of-sample one-stepahead dynamic conditional correlations and time-varying optimal hedge ratios. Our results suggest that Invesco China Technology ETF (CQQQ) is the best asset to hedge Chinese clean energy stocks followed by WTI, ECO, and PSE. Our results are reasonably robust to the choice of different model refits and forecast length of rolling window analysis. Our empirical findings provide investors and policymakers with the systematic understanding of return and volatility connectedness between China and U.S. clean energy stock markets.

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