The DOI matches its Crossref record; 40 of the 40 references it cites were found in a registry or an index.
The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets
Abstract
Abstract This study investigates the dynamic directional information spillover of return and volatility between the fossil energy market, investor sentiment towards renewable energy and the renewable energy stock market using the connectedness network approach. Empirical results show that the spillover effects of the volatility system are generally stronger than that of the return system, which suggest that risk transmission among the markets is more obvious. In both systems, the impact of the fossil energy market, especially crude oil, on the renewable energy stock market is greater than the impact of investor sentiment on the renewable energy stock market. This finding shows that the renewable energy stock market is closely related to the fossil energy market. Furthermore, the rolling window approach is adopted to examine the time-varying information spillover among them. The dynamic findings suggest that investor sentiment towards renewable energy can explain the return and volatility of renewable energy stock to a certain degree.
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Cites
Better to give than to receive: Predictive directional measurement of volatility spillovers
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On the network topology of variance decompositions: Measuring the connectedness of financial firms
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Predicting the Present with Google Trends
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Sadorsky, P. (2012) · Energy Economics · doi:10.1016/j.eneco.2011.03.006 · Cited by 874
Oil prices and the stock prices of alternative energy companies
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Self-citationTime and frequency dynamics of connectedness between renewable energy stocks and crude oil prices
Ferrer, R., Shahzad, S. J. H., López, R., & Jareño, F. (2018) · Energy Economics · doi:10.1016/j.eneco.2018.09.022 · Cited by 640
Dynamic connectedness and integration in cryptocurrency markets
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Self-citationStock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis
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Cited by
Hassan, Q., Algburi, S., Sameen, A. Z., Salman, H. M., & Jaszczur, M. (2023) · Results in Engineering · doi:10.1016/j.rineng.2023.101621 · Cited by 836
Geopolitical risk and dynamic connectedness between commodity markets
Gong, X., & Xu, J. (2022) · Energy Economics · doi:10.1016/j.eneco.2022.106028 · Cited by 354
Metadata
- Authors
- Song, Y., Ji, Q., Du, Y.-J., & Geng, J.-B.
- Venue
- Energy Economics
- Publisher
- Elsevier BV
- Published
- 2019-10
- Volume
- 84
- Pages
- 104564
- ISSN
- 0140-9883 (ISSN-L)
- OpenAlex
- W2982540251
- Cited by
- 294
- References
- 40
- FWCI
- 36.16
- Type
- journal article
- Language
- en
- Open access
- closed
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