China's New Energy Stock Market Returns and Its Volatility Correlation
The paper utilizes the daily closing price data of the China Securities Index's New Energy Index,Aviation Theme Index,Pharmaceutical and Health 100 Strategy Index,Agricultural Theme Index,and Nonferrous Metal Index from September 2017 to September 2022.It applies three multivariate GARCH models to explore the dynamic stock return and volatility correlations between Chinese new energy companies,aviation companies,pharmaceutical and health companies,agricultural companies,and nonferrous metal companies.The estimation results of the conditional mean equation show that the lagged one-period stock returns of aviation companies,pharmaceutical and health companies,and agricultural companies significantly influence the current stock returns of new energy companies.The estimated conditional correlation coefficients of CCC-GARCH,DCC-GARCH,and ADCC-GARCH models indicate that the conditional correlation between the stock returns of Chinese new energy companies and nonferrous metal companies is the highest during the sample period,followed by aviation companies,agricultural companies,and pharmaceutical and health companies.The dynamic conditional correlation test by rolling forward also shows the stability of the estimation results.Therefore,investors may consider using the stock market performance of nonferrous metal companies as a leading indicator for predicting the stock returns of new energy companies to reduce investment risk.
new energy stock marketmultivariate GARCH modelCCC-GARCH modelDCC-GARCH modelADCC-GARCH model
NETL
NSTL
万方数据
