1. Measuring the response of clean energy stock price volatility to extreme shocks.
- Author
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Zhang, Li, Wang, Lu, Peng, Lijuan, and Luo, Keyu
- Subjects
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CLEAN energy , *ENERGY industries , *CLEAN energy industries , *ENVIRONMENTAL impact analysis , *STOCKS (Finance) - Abstract
The development of clean energy has made the green finance market attractive to investors, but existing studies lack an analysis of the impact of uncertain environmental shocks on the volatility of green finance stocks. This paper focuses on the impact of major events on clean energy stock returns by using a mixed-frequency model. Specifically, to identify asymmetric effects and extreme information spillovers, we construct extreme positive returns/positive returns and extreme negative returns/negative returns, respectively. The in-sample findings suggest that asymmetric effects and extreme shocks contain valid information about future clean energy stock price volatility. The out-of-sample analysis shows that the extended model can successfully predict the volatility of clean energy stock markets. More importantly, the extended model can generate predictive gains from both statistical and economic aspects. This study can provide a reference for implementing and adjusting energy policies, which is important for optimizing the energy structure and developing the green energy industry. • This paper investigates the performance of the extended GARCH-MIDAS model. • Extreme shocks have different effects on the clean energy stock markets volatility. • The model with long and short-term extreme shocks has better predictive power. • The predictability of extreme shocks is robust by several robustness checks. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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