Energy firms in China towards resilience: A dynamic quantile connectedness approach

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-09-19 DOI:10.1016/j.eneco.2024.107921

Pavlos Koulmas , Konstantinos N. Konstantakis , Panayotis G. Michaelides , Aikaterini Karadimitropoulou , Sotiris Karkalakos

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Abstract

Α comprehensive understanding of the energy and technology sectors is imperative for the implementation of effective climate and industrial policies. This study investigates the quantile interconnectedness between the top five energy equities and the top five technology equities, listed on the Shanghai Stock Exchange 50 Index (SSE50), based on market capitalization. Employing the Quantile VAR methodology, we uncover significant interconnectedness across various quantiles of the return distribution for both energy and technology equities. This implies that price fluctuations within one sector can have a significant effect on the other. Furthermore, our analysis reveals directional connectedness, where energy equities consistently influence technology equity prices throughout the entire period of investigation. Additionally, a heightened degree of interconnectedness is observed during periods of extreme market movements, i.e. in the upper and lower tails of the return distribution. This suggests a more integrated system during stressed conditions, where all equities under investigation exhibit a magnified influence on each other, potentially leading to amplified volatility spillovers. These findings provide valuable insights for investors, portfolio managers, and policymakers, enabling them to develop more informed investment strategies and construct robust risk management frameworks.

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中国能源企业的抗风险能力：动态量子关联方法

要实施有效的气候和产业政策，就必须全面了解能源和技术行业。本研究调查了在上海证券交易所 50 指数（SSE50）上市的前五大能源类股票和前五大科技类股票之间基于市值的量化相互关联性。利用量子 VAR 方法，我们发现能源和科技股在收益分布的不同量级之间存在显著的相互关联性。这意味着一个行业的价格波动会对另一个行业产生重大影响。此外，我们的分析还揭示了方向性关联，在整个调查期间，能源股票始终影响着技术股票的价格。此外，在极端市场波动期间，即回报率分布的上尾部和下尾部，我们观察到了更高程度的相互关联性。这表明，在受压条件下，所有被调查的股票都会表现出更大的相互影响，从而可能导致波动溢出效应的扩大。这些发现为投资者、投资组合经理和政策制定者提供了宝贵的见解，使他们能够制定更明智的投资策略，构建稳健的风险管理框架。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.