Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective
研究了2013年12月至2023年1月间，子行业清洁能源股票与原油、天然气、煤炭等化石燃料商品之间的时变关联性，发现石油对生物燃料的波动溢出最强，天然气和煤炭对储能行业影响最大，且COVID-19和俄乌冲突等极端事件显著增强了这种关联，为投资者提供了时变最优对冲比率和投资组合权重。
Abstract This study investigates the time‐varying connectedness between subsectoral clean‐energy stocks and fossil fuel energy commodities (crude oil, natural gas, and coal) over the period of December 2013–January 2023 employing the Diebold and Yilmaz approach and the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model. According to the findings, oil transmits the highest volatility spillover shocks to biofuels, and the least to the fuel cell industry. Both natural gas and coal transmit the highest volatility spillover shocks to energy storage, and the least to geothermal and green information technology, respectively. The study also finds strong and time‐varying volatility connectedness among clean‐energy assets and fossil fuels, significantly affected by global extreme events, such as the COVID‐19 pandemic and the Russia–Ukraine conflict. Additionally, the study provides time‐varying and mean optimal hedge ratios with optimal portfolio weights for investors. The empirical results are robust, and important portfolio and policy implications based on empirical findings are provided.