Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2171455
An empirical study of the time-varying spillover effects between China’s crude oil futures market and new energy markets
Yimin Wu
Rosmanjawati Abdul Rahman
Qiuju Yu
Sažetak
The time-varying spillover effect of China’s crude oil futures market
and new energy market has an important impact on promoting the
green development of China’s economy. This study uses the
dynamic connectedness method based on DCC-GARCH model to
analyze the time-varying spillover effects between Shanghai crude
oil futures and various industries in new energy markets. The results
show that there was a stable volatility correlation and high degree
of connectedness between Shanghai crude oil futures and the new
energy stock market. The new energy vehicle and energy storage
industries were driving the market, while Shanghai crude oil futures
and both wind power and photovoltaic industries were driven by
the market.With the analysis results, the study provides scientific
policy recommendations for the development of China’s crude oil
futures market and new energy market, which are expected to contribute
to the sustainable development of the energy market.
Ključne riječi
Time-varying spillover; DCCGARCH model; connectedness; dynamic linkage; new energy markets
Hrčak ID:
306832
URI
Datum izdavanja:
30.4.2023.
Posjeta: 202 *