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

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  • Zhang, Guofu
  • Du, Ziping

Abstract

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.

Suggested Citation

  • Zhang, Guofu & Du, Ziping, 2017. "Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China," Energy, Elsevier, vol. 135(C), pages 249-256.
    • Handle: RePEc:eee:energy:v:135:y:2017:i:c:p:249-256
    DOI: 10.1016/j.energy.2017.06.103
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    More about this item

    Keywords

    New energy; Fossil fuel; High technology; Stock prices; TVP-SV-VAR model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

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