TY - JOUR
AU - Dong, Weijia
AB -  This paper adopts an asymmetric BEKK-GARCH-M model to examine the heterogeneous and nonlinear relationship between oil and stock prices in the Chinese clean energy subsector. Three interesting findings are obtained. First, we find that the impact of oil prices on stock returns is stronger in the new energy vehicle sector than in other clean energy subsectors. This result could be explained by the direct substitution effect of fossil energy on new energy vehicles, which is larger than the indirect effect on other kind of renewable energy or nuclear power. Second, we prove that the relationship between oil and stock prices strengthened before the 2014 foil price decline, and the relationship became insignificant after the decline. Third, we detect significant bidirectional risk spillover effects between oil and several clean energy subsectors in the full sample. 
TI - Oil Prices and Stock Prices of Clean Energy: New Evidence from Chinese Subsectoral Data
JF - Emerging Markets Finance & Trade
DO - 10.1080/1540496X.2019.1689810
DA - 2021-03-16
UR - https://www.deepdyve.com/lp/taylor-francis/oil-prices-and-stock-prices-of-clean-energy-new-evidence-from-chinese-B687yb1SYq
SP - 1088
EP - 1102
VL - 57
IS - 4
DP - DeepDyve
ER -