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Characteristics and influencing factors of risk spillover effects across clean energy stock prices: A comparative analysis during four periods of the COVID-19 pandemic

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  • Jia, Yanjing
  • Dong, Zhiliang

Abstract

This paper explores the characteristics and influencing factors of risk spillover effects across clean energy stock prices during four periods of the COVID-19 pandemic, using the TVP-VAR-DY model and the TVP-SVAR-SV model. The empirical results suggest that the risk spillover level across clean energy stock prices declined with the outbreak of the COVID-19 pandemic, and the volatility was initially violent. However, as the pandemic began to mitigate and recovery ensued, the risk spillover level rebounded and became stable. After the COVID-19 pandemic, smart grids and three renewable energy sources (photovoltaics, wind energy, and hydropower) were the main transmitters of net risk spillover effects across clean energy stock prices, while the clean and efficient use of traditional energy was always a net risk spillover effects absorber. Regarding influencing factors, the impact of structural factors (net power generation of various types of clean energy) on the risk spillover effect across clean energy stock prices is generally greater than that of external factors (economic factors and political factors), and these effects last longer. Finally, among structural factors, the net power generation of two renewable energy sources—wind energy and photovoltaics—has a greater impact, especially during the outbreak and mitigation period of the COVID-19 pandemic. Beyond renewable energy, the net power generation from smart grids and nuclear power had a significant impact during the post-COVID-19 recovery period. These new findings suggest useful implications for investors and policymakers in the clean energy markets.

Suggested Citation

  • Jia, Yanjing & Dong, Zhiliang, 2024. "Characteristics and influencing factors of risk spillover effects across clean energy stock prices: A comparative analysis during four periods of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 135(C).
  • Handle: RePEc:eee:eneeco:v:135:y:2024:i:c:s0140988324003529
    DOI: 10.1016/j.eneco.2024.107644
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