Do climate risks affect dirty-clean energy stock price dynamic correlations?

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成果类型：

期刊论文

作者：

Li, Di;Wu, Zhige;Tang, Yixuan

通讯作者：

Wu, ZG

作者机构：

[Li, Di] City Univ Macau, Fac Finance, Macau, Peoples R China.

[Wu, Zhige] Cent South Univ Forestry & Technol, Coll Econ, Res Ctr High Qual Dev Ind Econ, Changsha, Peoples R China.

[Tang, Yixuan] Cent South Univ Forestry & Technol, Bangor Coll, Changsha, Peoples R China.

[Li, Di] City Univ Macau, Ave Padre Tomas Pereira Taipa, Macau, Peoples R China.

[Wu, Zhige] 498 Shaoshan Rd South, Changsha, Hunan, Peoples R China.

通讯机构：

[Wu, ZG ] C

Cent South Univ Forestry & Technol, Coll Econ, Res Ctr High Qual Dev Ind Econ, Changsha, Peoples R China.

498 Shaoshan Rd South, Changsha, Hunan, Peoples R China.

语种：

英文

关键词：

Clean energy stock prices;Dirty energy stock prices;Dynamic conditional correlations;Climate risks

期刊：

ENERGY ECONOMICS

ISSN：

0140-9883

年：

2024

卷：

136

DOI：

10.1016/j.eneco.2024.107713

基金类别：

National Social Science Fund of China (NSSFC) [22BJY197, 23BJY050]; National Natural Science Foundation of China (NNSFC) [71973053]; Research Project of the Education Department of Hunan Province [23B0250]; Social Science Young Sci-entist fund [2017QZ005]

机构署名：

本校为通讯机构

院系归属：

班戈学院

经济学院

摘要：

Prior studies have extensively exhibited an interest in exploring the connectedness between dirty and clean energy stock prices alongside the drivers of such price connectedness, shedding light on hedging strategies for finance practitioners. Nevertheless, no empirical research has examined whether climate risks, the emerging indicator for investors to handle the divestment of dirty energy stocks, have affected the time-varying dirty-clean energy equity price nexus. This study fills this gap by innovatively identifying dynamic conditional correlations (DCCs) between dirty and clean energy stoc...

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