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News
Recently, LCC researcher, Associate Professor Yuquan Zhang's research group published two papers in Energy and Economic Analysis and Policy respectively.
Paper 1: “Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets? – A wavelet-based BEKK- GARCH-X approach” (Journal: Energy)
Abstract:
Amidst the background of an increasingly evidenced shift to renewable energy, many studies explored the relationships between crude oil, renewable energy, and technology stock markets worldwide. However, research has yet to take the raw materials market into account financially. This study investigates the volatility spillovers between crude oil, renewable energy, and high-technology markets in China in time and frequency domains first. Thereupon the tri-market system gets expanded to include the raw materials market (rare earths). The framework of wavelet analysis and BEKK-GARCH model with exogenous variables is applied. The results corroborate that there exists significant volatility spillover between renewable energy and high-technology stock markets, and the renewable energy market in China relates closer to high-technology than crude oil. Besides, the volatility spillovers vary by frequency, with D3 (8–16 days) results appearing more pronounced. Moreover, the rare earths market has significant impacts on the system, especially for high-technology and renewable energy markets. This suggests that as key raw materials to renewable energy development, rare earths may increase the risk transfer of the tri-market system. The results are of potential importance and use for investors and policy makers. In particular, taking the frequency perspective helps devising differentiated portfolio and risk management strategies.
Original Article:
https://doi.org/10.1016/j.energy.2022.123951
Paper 2: “The limited role of stock market in financing new energy development in China: An investigation using firms’ high-frequency data” (Journal: Economic Analysis and Policy)
Abstract:
China has set ambitious goals to peak carbon emissions by 2030 and to achieve carbon neutrality by 2060, which will inevitably accelerate the transition from conventional fossil energy to new energy. However, the financing problem may be a major concern for the development of new energy. In this study, by employing the asymmetric spillover measurement, the financing performance of new energy stock market in China is investigated. Specifically, 5-minute intraday high-frequency data of 66 listed firms, selected to represent the field, are used. The new energy stocks are also divided into six categories, including photovoltaic power, nuclear power, new energy vehicles, lithium batteries, wind power, and new energy equipment and materials. The results suggest that the new energy stock market in China is much riskier than the large cap stock market. The investors in this stock market are sensitive to negative news and tend to be speculative in short-term, rather than to focus on the development of new energy sector in the long run. Policy implications and suggestions are thereupon derived for different types of stakeholders.
Original Article:
https://doi.org/10.1016/j.eap.2021.10.004
Authors
Biao Zheng, Doctoral Student of LCC
Dr. Yuquan Zhang, Associate Professor of LCC
