Abstrakt
In this paper, we analyse the dynamic relationship among the Chinese renewable energy stock prices, the U.S renewable energy stock prices, oil prices and technology stock prices. We apply a four-variable Lag Augmented Vector Autoregressive (LA-VAR) model to study the return interactions among the variables.
Moreover, we also use Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to study the dynamic conditional volatility of the Chinese renewable energy stock prices. The empirical results indicate that both return and conditional volatility of the Chinese renewable energy stock prices can be explained by past movements of the U.S renewable energy stock prices and technology stock prices.
In addition, we find significant evidence to support the existence of the GARCH effects in the Chinese renewable energy stock prices. However, only weak statistical evidence reveals the significance of the leverage effects in the Chinese renewable energy stock market.