Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach
Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach
复制标题
油价不确定性对中国清洁能源金属库存的影响：来自非参数分位数因果关系方法的证据
DOI：
10.1016/j.iref.2021.01.009
复制
发表时间：
2021-05
影响因子：
4.5
通讯作者：
Xuehong Zhu
中科院分区：
文献类型：
--
作者：
Liuguo Shao;Hua Zhang;Jinyu Chen;Xuehong Zhu
我们采用非参数分位数因果关系方法，研究了中国不同市场条件下油价不确定性对清洁能源金属股票收益和波动性的因果影响。研究结果表明，油价不确定性与中国清洁能源金属股的回报率和波动性之间存在因果关系。回报率和波动率的影响略有不同。具体而言，油价不确定性对回报的因果影响主要在较低分位数中观察到，而对波动性的影响则存在于所有分位数中。此外，还检验了中国市场环境变化对因果关系的影响。结果表明，市场环境的变化显着削弱了油价不确定性与清洁能源金属股票之间的因果关系，表明中国清洁能源金属股票市场结构发生了重大变化。
Using the nonparametric causality-in-quantiles approach, we investigate the causal effects of oil price uncertainty on the returns and volatility of clean energy metal stocks under different market conditions in China. The results suggest that there is a causal relationship between oil price uncertainty and the returns and volatility of Chinese clean energy metal stocks. The effect differs slightly between returns and volatility. Specifically, the causal effect of oil price uncertainty on returns is mainly observed for lower quantiles, whereas the effect on volatility exists for all quantiles. In addition, the effects of change of market environment in China on the causal relationship are tested. The results show that change in market environment has significantly weakened the causal relationship between oil price uncertainty and clean energy metal stocks, suggesting that the structure of the Chinese clean energy metal stock market has undergone major changes.
登录
查看更多内容
影响因子：
1.5
作者：
Konstantinos Gkillas;Rangan Gupta;C. Lau;M. Suleman
通讯作者：
Konstantinos Gkillas;Rangan Gupta;C. Lau;M. Suleman
影响因子：
11.1
作者：
Dutta, Anupam
通讯作者：
Dutta, Anupam
影响因子：
9
作者：
Muhammad Yahya;Sajal Ghosh;K. Kanjilal;Anupam Dutta;G. Uddin
通讯作者：
Muhammad Yahya;Sajal Ghosh;K. Kanjilal;Anupam Dutta;G. Uddin
DOI：
10.2139/ssrn.463005
发表时间：
2007-07
期刊：
S&P Global Market Intelligence Research Paper Series
影响因子：
--
作者：
Kewei Hou
通讯作者：
Kewei Hou
影响因子：
12.8
作者：
Ronald A. Ratti;Joaquin Vespignani
通讯作者：
Ronald A. Ratti;Joaquin Vespignani