Asymmetric effects of media climate sentiment divergence on the volatility of green and grey energy stocks

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-01-15 DOI:10.1016/j.frl.2025.106798

Yating Fu, Lingyun He, Yufei Xia, Rongyan Liu, Ling Chen

引用次数: 0

Abstract

We analyze 542,496 posts from Sina Weibo and construct a media climate sentiment divergence (MCSD) indicator to investigate the asymmetric impact of disagreement on green and grey energy markets. To this end, a non-linear autoregressive distributed lag (NARDL) model with daily data from January 2, 2014 to September 28, 2023 is employed, and the results show that since the negative change is significantly larger than the positive, MCSD and energy stocks volatility are asymmetric in the short- and long- term. Greater MCSD corresponds to larger absolute price changes in energy stocks, resulting in increased volatility, and green ones are more prominent than grey ones due to the herding effect. In addition, different types of MCSD have different impacts on the volatility of green and grey energy stocks and need to be treated differently. Our findings hold significant implications for financial regulators, retail investors, and energy companies.

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媒体气候情绪分化对绿色和灰色能源股波动的非对称影响

我们分析了新浪微博上的542,496条微博，并构建了媒体气候情绪分歧（MCSD）指标，以考察分歧对绿色和灰色能源市场的不对称影响。为此，采用2014年1月2日至2023年9月28日日数据的非线性自回归分布滞后（NARDL）模型，结果表明，由于负变化明显大于正变化，MCSD与能源股波动在短期和长期都是不对称的。MCSD越大，对应能源股的绝对价格变动越大，导致波动性增加，由于羊群效应，绿色股票比灰色股票更突出。此外，不同类型的MCSD对绿色和灰色能源股波动率的影响也不同，需要区别对待。我们的研究结果对金融监管机构、散户投资者和能源公司具有重要意义。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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