期刊
ENERGY ECONOMICS
卷 111, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.eneco.2022.106070
关键词
Non-ferrous metals; Clean energy stock; Spillover; Network analysis; Investment portfolio
类别
资金
- National Social Science Foundation of China [21, ZD103]
- National Natural Science Foundation of China [72104253]
- Natural Science Foundation of Hunan Province [2021JJ40797]
- Innovation Platform for Open Foundation of the Education Department of Hunan Province [20K133]
This paper explores the spillover effects and network characteristics between non-ferrous metals and sub-sectoral clean energy stocks, as well as portfolio diversification and hedging strategies. The results show that non-ferrous metals have a minimal transmission and receiving role in both time and frequency domain, making them the best hedging asset for developer stocks.
Non-ferrous metals are not only irreplaceable raw materials to ensure clean energy production and low-carbon transformation, but also effective risk-averting choices for clean energy stock investment. This paper explores the strength and network characteristics of spillovers among non-ferrous metals and sub-sectoral clean energy stocks from time and frequency perspectives. Then, the portfolio diversification and hedging with non-ferrous metals for sub-sectoral clean energy stocks are discussed. The sample period ranges from October 13th, 2010 to June 23th, 2021. Results show that: (1) the spillovers are mainly resulted in short-term factors; (2) the spillovers are volatile and increases when facing special crises; (3) non-ferrous metals are the smallest transmitter and receiver in both time and frequency domain; (4) non-ferrous metals work the best as the hedging asset for the developer stocks. In general, adjusting the portfolio strategy timely and diversifying investment portfolios in clean energy stocks with non-ferrous metals are effective to reduce investment risks.
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