IDEAS home Printed from https://ideas.repec.org/h/spr/prbchp/978-3-030-55277-0_6.html
   My bibliography  Save this book chapter

Renewable Energy Financial Modelling: The Chinese Stock Price Case

In: Digitalization in Finance and Accounting

Author

Listed:
  • Karel Janda

    (Charles University, Opletalova
    University of Economics)

  • Binyi Zhang

    (Charles University, Opletalova)

Abstract

In this paper, we analyse the dynamic relationship among the Chinese renewable energy stock prices, the US renewable energy stock prices, oil prices and technology stock prices. We apply a four-variable lag-augmented vector autoregressive (LA-VAR) model to study the return interactions among the variables. Moreover, we also use generalised autoregressive conditional heteroskedasticity (GARCH) models to study the dynamic conditional volatility of the Chinese renewable energy stock prices. The empirical results indicate that both return and conditional volatility of the Chinese renewable energy stock prices can be explained by past movements of the US renewable energy stock prices and technology stock prices. In addition, we find significant GARCH effects exist in the Chinese renewable energy stock prices. However, we only find weak statistical evidence to reveal the significance of the leverage effects in the market.

Suggested Citation

  • Karel Janda & Binyi Zhang, 2021. "Renewable Energy Financial Modelling: The Chinese Stock Price Case," Springer Proceedings in Business and Economics, in: David Procházka (ed.), Digitalization in Finance and Accounting, pages 55-69, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-55277-0_6
    DOI: 10.1007/978-3-030-55277-0_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:prbchp:978-3-030-55277-0_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.