Journal
ENERGY ECONOMICS
Volume 109, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.eneco.2022.105959
Keywords
Volatility spillover; Chinese stock markets; New energy vehicle; Hedge ratios; Portfolio weights; Hedging effectiveness
Categories
Funding
- National Natural Science Foundation of China [71771030, 72171027]
- Natural Science Foundation of Hunan Province [19A007]
- Scientific Research Fund of Hunan Provincial Education Department [2021JJ30025]
- Changsha University of Science and Technology New power market intelligent management interdisciplinary team
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This paper investigates the volatility spillover effects and dynamic relationships among WTI crude oil, gold, and the Chinese stock markets of new energy vehicle, environmental protection, new energy, coal & consumable fuels, high and new technology. The study finds a high interdependence among all analyzed assets, and the total volatility spillover increases sharply during major crisis events.
This paper investigates the volatility spillover effects and the dynamic relationships among WTI crude oil, gold and the Chinese stock markets of new energy vehicle, environmental protection, new energy, coal & consumable fuels, high and new technology, by adopting the method of Diebold and Yilmaz (2012, 2014) based on TVP-VAR model. The results indicate that there exists a high interdependence among all analyzed assets, and the total volatility spillover has a sharp increase under the major crisis events. On average, WTI crude oil and gold are the net receivers of the systemic shocks, while all of the analyzed stock markets are the net transmitters of the systemic shocks. Besides, the Granger causality test shows that the volatility of each asset can Granger cause the total connectedness index. Finally, we also calculate optimal hedge ratios, portfolio weights and the corresponding hedging effectiveness based on DCC-GARCH-t copula model. The empirical results show WTI crude oil and gold are cheap hedging tools. When investing a small part in WTI crude oil and a large part in the analyzed stock markets, high hedging effectiveness could be achieved.
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