Research on volatility spillover effects between traditional energy market and China's new energy vehicle stock market

Due to the issues of energy security and climate change, many countries have deeply adjusted the energy structure for the sustainable development of the national economy. With the increase of uncertainty in the energy market in recent years, China's new energy vehicle industry has developed rapidly, and the price fluctuation of new energy vehicle industry is closely related to that of traditional fossil energy. Therefore, we use the TVP-VAR-DY model to analyze the time-varying volatility spillover effect between the international crude oil futures market and China's new energy vehicle stock market. The results show that the volatility spillover effect between the international crude oil futures market and China's new energy vehicle market has obvious time-varying characteristics. The international crude oil market is the net exporter in the system, while China's new energy vehicle market is the main net recipient in the system. The sensitivity of directional spillover effect in extreme risks of different markets to different extreme events is quite different. Finally, the conclusions of this paper provide reference for investors and put forward corresponding suggestions for the development of new energy vehicle industry.

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Publication Details

Journal
Highlights in Business Economics and Management
Published
2024-08-08
DOI
https://doi.org/10.54097/6e1zh945
Primary Topic
Market Dynamics and Volatility
Type
article
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article

Research on volatility spillover effects between traditional energy market and China's new energy vehicle stock market

Yuqiu Wang
Highlights in Business Economics and Management
Market Dynamics and Volatility
article

Research on volatility spillover effects between traditional energy market and China's new energy vehicle stock market

Yuqiu Wang
article en

Abstract

Due to the issues of energy security and climate change, many countries have deeply adjusted the energy structure for the sustainable development of the national economy. With the increase of uncertainty in the energy market in recent years, China's new energy vehicle industry has developed rapidly, and the price fluctuation of new energy vehicle industry is closely related to that of traditional fossil energy. Therefore, we use the TVP-VAR-DY model to analyze the time-varying volatility spillover effect between the international crude oil futures market and China's new energy vehicle stock market. The results show that the volatility spillover effect between the international crude oil futures market and China's new energy vehicle market has obvious time-varying characteristics. The international crude oil market is the net exporter in the system, while China's new energy vehicle market is the main net recipient in the system. The sensitivity of directional spillover effect in extreme risks of different markets to different extreme events is quite different. Finally, the conclusions of this paper provide reference for investors and put forward corresponding suggestions for the development of new energy vehicle industry.

Highlights in Business Economics and ManagementVol. 39
Nanjing University of Science and Technology (CN)
Openalex Percentile: Top 83%
Market Dynamics and Volatility
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