新能源、化石能源和高科技公司股价动态相依结构研究

doi:10.12005/orms.2022.0401

运筹与管理 ›› 2022, Vol. 31 ›› Issue (12): 157-164.DOI: 10.12005/orms.2022.0401

新能源、化石能源和高科技公司股价动态相依结构研究

杜子平¹, 孙瑞泽²

1.天津科技大学经济与管理学院,天津 300222;
2.南方科技大学商学院,广东深圳 518055

收稿日期:2020-12-06 发布日期:2023-02-02
通讯作者: 杜子平(1964- ),男,山西吕梁人,博士,教授,博士研究生导师,研究方向为数量金融、计量经济分析。
作者简介:孙瑞泽(1997-),男,山东潍坊人,博士研究生。
基金资助:
国家自然科学基金项目(71771171);教育部人文社会科学研究青年基金项目(19YJCZH251)

Research on Dynamic Dependence Structure among the Stock Prices of New Energy, Fossil Energy, and High-technology Companies

DU Zi-ping¹, SUN Ruize-ze²

1. College of Economics and Management, Tianjin University of Science and Technology; Center for Financial Engineering and Risk Management, Tianjin University of Science and Technology, Tianjin300222, China;
2. Business School, Southern University of Science and Technology Guangdong 51805, China

Received:2020-12-06 Published:2023-02-02

摘要/Abstract

摘要： 将我国新能源、化石能源和高科技产业纳入同一分析框架,采用因果关系检验、时变copula模型、滚动窗口R藤copula模型研究了三者股价动态相依结构,结果表明:新能源与高科技产业的联动性超过了能源产业内部的联动性,在投资者视角中新能源产业具备较强的高科技属性;新能源与高科技产业的联动性呈下降趋势;新能源与高科技产业的尾部相关系数波动较大,新能源产业的高科技属性对扶持政策的变动较为敏感;新能源产业对高科技产业有长期、稳定的引领作用,而高科技产业仅在特定时期是新能源产业的格兰杰原因,这对“新能源产业的兴衰很大程度依赖于特定科技的发展”这一传统观点提出了质疑。

关键词: 新能源, 动态相依性, 时变copula, 藤copula, 非线性格兰杰因果关系

Abstract: This paper puts new energy, high-technology and fossil energy industry in the same framework, investigating dynamic dependence structure of their stock prices through causality tests, time-varying copula and rolling window R-vine copula, and the main results are: highest co-movement is observed between new energy and high-technology, which surpasses that within energy industry, indicating that investors view new energy as an industry with significant high-tech character; the dependence between new energy and high-technology shows an downward trend, while that between new energy and fossil energy is upward; the tail dependence between new energy and high-technology fluctuate wildly, which may suggest high sensitivity of new energyindustry’s high-technology character to policy change; instead of supporting the traditional view that the success of new energy companies depends on theapplication of specific technology, the empirical results pointtoanalternativemechanism.

Key words: new energy, dynamic dependence, time-varying copula, vine copula, non-linear Granger causality

中图分类号:

F832.5

杜子平, 孙瑞泽. 新能源、化石能源和高科技公司股价动态相依结构研究[J]. 运筹与管理, 2022, 31(12): 157-164.

DU Zi-ping, SUN Ruize-ze. Research on Dynamic Dependence Structure among the Stock Prices of New Energy, Fossil Energy, and High-technology Companies[J]. Operations Research and Management Science, 2022, 31(12): 157-164.

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新能源、化石能源和高科技公司股价动态相依结构研究

Research on Dynamic Dependence Structure among the Stock Prices of New Energy, Fossil Energy, and High-technology Companies

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