Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model

被引：11
|
作者：
Ren, Boru [1 ]
Lucey, Brian [1 ,2 ,3 ,4 ]
机构：
[1] Trinity Coll Dublin, Trinity Business Sch, Dublin, Ireland
[2] Univ Econ Ho Chi Minh City, Inst Business Res, 59C Nguyen Dinh Chieu,Ward 6,Dist 3, Ho Chi Minh City, Vietnam
[3] Jiangxi Univ Econ & Finance, Inst Ind Econ, 169 East Shuanggang Rd, Nanchang 330013, Jiangxi, Peoples R China
[4] Abu Dhabi Univ, Zayed City, U Arab Emirates
来源：
ENERGY ECONOMICS | 2023年 / 119卷
关键词：
Herd behaviour; New energy; Clean energy; Time-varying; Stock market effect; STOCK-MARKET; BEHAVIOR; VOLATILITY; OIL; COMMODITY; IMPACT;
D O I：
10.1016/j.eneco.2023.106526
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we examine the herd behaviour of the Chinese renewable energy sector using both static and time-varying coefficient models. Examining daily data from January 05, 2015 to April 29, 2022, we find strong evidence of herding behaviour changing over time in this market. We find that herding asymmetry is more pronounced during up markets and among smaller firms. When within-industry herding weakens, large price movements in the overall stock market provide additional trading signals for herding formation in this sector.
引用
收藏
页数：11
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