Time-Varying Connectedness among New Energy Vehicle Firms, Oil and U.S.-China Tensions: Evidence from Return and Systemic Risk

This article explores the time-varying connectedness of systemic risk and return of new energy vehicle firms, oil prices and U.S.-China tensions (UCT), which adopts Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) based R2 decomposed connectedness method. The main findings are as follows: (1) In return layer, average total connectedness index (TCI) is 55.87%; in systemic risk layer, the TCI is 94.17%. These both indicate a high degree of interconnectedness. (2) TCI is time-varying and the trend is affected by major external shocks. (3) UCT and oil prices are the senders of shocks in return layer and the receivers of shocks in systemic risk layer. The paper plot multi-networks in order to visualize the transmission paths and intensity. New energy vehicle enterprises should pay attention to the international political and economic situation, in order to reduce systemic risk and help stabilize the financial market.