疫情后时期中国能源ETF可及性与股市情绪的弹性动态

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-11-24 DOI:10.1016/j.eneco.2024.108060

Hua-Tang Yin , Jun Wen , Hongming Yang , Yushuang He , Chun-Ping Chang

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引用次数: 0

摘要

本文从韧性的角度考察了新冠肺炎大流行后能源ETF可及性与股市情绪之间的动态相互作用。我们发现，从长远来看，他们倾向于积极地共同行动。对其中一方不利的外源冲击不仅会对自身产生持续的影响，而且会对另一方造成不减量的损害。与股市情绪弹性相比，能源ETF可及性弹性更受长期协同运动的约束。这种联合运动不会因可能的结构性时间中断或马尔可夫政权转移而显著改变。基于小波相干性分析的进一步探索提供了证据，证明在动荡的环境中，两类弹性之间存在稳定甚至逐渐增强的正相干性。因此，我们的研究结果可以为金融监管机构在能源和股票二级市场实现其设计目标提供有价值的见解。

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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The resilience dynamics of energy ETF accessibility and stock market sentiment in China during the post-pandemic era

This paper investigates the dynamic interaction between energy ETF accessibility and stock market sentiment through the lens of resilience during the post COVID-19 pandemic period. We find that they tend to positively co-move in the long run. Adverse exogenous shocks on one of them not only have a persistent impact on itself but also cause non-diminish damage to the other. Compared to stock market sentiment resilience, energy ETF accessibility resilience is more constrained by the long-run co-movement. The co-movement is not significantly reshaped by possible structural time-breaks or Markovian regime shifts. Further exploration based on wavelet coherence analysis provides evidence for a stable and even gradually strengthening positive coherence between the two types of resilience in a volatile environment. Accordingly, our findings can offer valuable insights for financial regulators to achieve their designed objectives in the secondary markets of energy and stocks.

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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.