期刊
JOURNAL OF CLEANER PRODUCTION
卷 279, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.jclepro.2020.123429
关键词
Geopolitical risk; Renewable energy stock market; Risk spillover; Conditional value-at-risk; Uncertainty
资金
- National Natural Science Foundation of China [71971055, 71671145, 71971191]
- humanities and social science fund of ministry of education of China [17YJA790015, 17XJA790002, 18YJC790132, 18XJA790002]
- Science and Technology Innovation Team of Yunnan Provincial Universities [2019014]
- Yunnan Fundamental Research Projects [202020]
- Scientific Research Foundation of Graduate School of Southeast University [YBPY1971]
This study finds significant risk spillovers from geopolitical risk to renewable energy stock markets, with asymmetries in the spillovers. The uncertainties in stock and oil markets have a greater impact on risk spillovers, while geopolitical risk has a larger long-term effect on the Chinese market.
This paper investigates the risk spillovers from geopolitical risk to five renewable energy stock markets by measuring four types of (normalized) delta conditional Value-at-Risk incorporating the variational mode decomposition and time-varying copula approaches, and further tests the possible asymmetries of risk spillovers. The empirical results manifest that, there are significant risk spillovers from geopolitical risk to renewable energy stock markets and the risk spillovers do not exhibit as clear positive or negative pattern. Next, the asymmetries of risk spillovers widely exist on the following three facets. First, the risk spillovers from stock and oil market uncertainties are obviously higher than that from geopolitical risk in most cases, whereas geopolitical risk manifests similar short-run effects on China's renewable energy stock market as the other two uncertainties. Second, the downside risks of renewable energy stock markets are more sensitive to the variations of stock and oil market uncertainties, while the risk spillovers from geopolitical risk are more symmetric during bull and bear market periods. Finally, there are significantly greater long-run risk spillovers to China's renewable energy stock market. Conversely, the other four markets are more heavily shocked in the short-run. (c) 2020 Elsevier Ltd. All rights reserved.
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