Research On Information Spillover Mechanism Of Global New Energy Market

More and more investors are paying attention to new energy due to environmental problems and energy structure transformation.With the integration of global finance,energy market and financial market are inseparable.The new energy stock market is the financing market for new energy,so it is closely related to the development of the entire new energy industry.When studying the new energy market,it is necessary to consider its relationship with fossil energy and investor sentiment.And at the same time,the internal relationship among new energy companies which play an important role in low-carbon development cannot be ignored.Firstly,the method of connectedness network based on VAR generalized variance decomposition has been applied in the paper to study the information spillover mechanism between the new energy stock market and the external factors.This paper constructs the fossil energy market-investor sentiment-new energy stock market connectedness network for return system and volatility system,respectively.And the dynamic directional information spillover effects among these variables have been analyzed.Empirical results show that the spillover effects of the volatility system are generally stronger than that of the return system,which suggest that risk transmission among the markets is more obvious.In both systems,the fossil energy market,especially the crude oil price,has greater influence than the investor sentiment on the new energy stock market,which indicates that the new energy stock market is closely related to the fossil energy market.Furthermore,the rolling window approach is adopted to examine the time-varying information spillover among them.The dynamic findings suggest that investor sentiment towards new energy can explain the return and volatility of renewable energy stock to a certain degree.Secondly,this paper uses the same method to further study the internal information spillover mechanism of the new energy stock market.By constructing the time-varying connectedness network of the return system and volatility system among the 20 new energy companies in the world,we analyze the internal information spillover effect of these new energy companies.We find that the risk transmission among the major new energy companies in the world is very close.Especially the spillover effect of information in the volatility system is very obvious,which is likely due to the same industry risk factors.Therefore,it will cause the collaborative movements of the return and volatility.Furthermore,in the examination of considering the dynamic spillover effect,the volatility link among new energy companies will be significantly enhanced when major abnormal events occur.We also find that there is an obvious asymmetry effect in the return system,which means that bad news contributes more to the return system than good news.Finally,we find that several new energy companies are in the position of net information transmitters in both static and dynamic analysis.This reminds investors in the new energy sector to focus on these companies when making portfolio strategies.Our findings may help investors identify the risk transmission mechanisms of different markets and the risk transmission mechanisms among major new energy companies.It can provide some useful references for investors to make specific portfolio strategies and risk management.At the same time,our results also provide a basis for policy makers to predict the performance of new energy companies and develop appropriate subsidy policies.