国际油价对中国新能源股价的波动溢出效应——基于尾部相依性视角的分析

Volatility Spillover Effect of International Oil Price on China’s New Energy Stock Price——From the Perspective of Tail Dependence

“双碳”目标下新能源行业的平稳健康发展至关重要,研究国际油价对中国新能源行业股价的波动溢出效应对于我国推进新能源产业健康发展具有重要意义。本文采用QVAR-DY模型实证研究了国际油价对我国新能源股价的波动溢出效应及其尾部特征。实证结果表明,从新能源整体行业来看,国际油价波动对我国新能源股价存在明显的溢出效应且尾部溢出明显强于平均水平,左尾和右尾溢出具有相似的时变特征,均在金融体系脆弱性上升时期显著攀升,但多数情况下,左尾溢出强于右尾;从新能源细分行业来看,同一大类下的细分行业受国际油价波动的溢出影响具有相似性,但不同大类之间存在明显差异,当中美贸易摩擦和产油国超预期减产等极端事件发生时,新能源生产类行业和储能行业受国际油价波动的溢出影响要强于新能源应用类行业。

The smooth and healthy development of the new energy industry under the "double carbon" target is crucial,and it is important to study the volatility spillover effect of international oil prices on the share prices of China’s new energy industry in order to promote the healthy development of the new energy industry in China.In this paper,the QVAR-DY model is used to empirically study the volatility spillover effect of international oil prices on China’s new energy stock prices and its tail characteristics.The empirical results show that,from the perspective of the new energy industry as a whole,there is a significant spillover effect of international oil price fluctuations on China’s new energy stock prices and the tail spillover is significantly stronger than the average level.The left-tail and right-tail spillovers have similar time-varying characteristics,both climbing significantly during periods of rising financial system vulnerability,but in most cases,the left-tail spillover of international oil prices on China’s new energy stock prices is stronger;in terms of the new energy sub-sectors,the sub-sectors under the same broad category are similarly affected by the spillover of international oil price volatility,but there are significant differences between different broad categories,with extreme events such as trade frictions between the US and China and oil-producing countries exceeding expectations In the event of extreme events such as trade frictions between the US and China and unanticipated production cuts by oil-producing countries,the spillover effects of international oil price volatility are stronger for the new energy production and energy storage sectors than for the new energy application sectors.