Liu Tiantian, Nakajima Tadahiro, Hamori Shigeyuki
Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe, 657-8501 Japan.
The Kansai Electric Power Company Incorporated, 6-16, Nakanoshima 3-chome, Kita-Ku, Osaka, 530-8270 Japan.
Empir Econ. 2022;62(4):1495-1515. doi: 10.1007/s00181-021-02087-3. Epub 2021 Jun 27.
By employing time-frequency-domain frameworks, this study analyzes the spillover effects of news-based economic uncertainty caused by the pandemic on three renewable energy stock indices in the USA, Europe, and the world. The empirical results reveal that the total spillover from economic uncertainty to the three renewable energy stock returns was concentrated at a high frequency, whereas those to volatilities appeared at low frequencies. Utilizing a rolling-window method, we observed that the impact of uncertainty caused by COVID-19 on three renewable energy stock returns and volatilities is more significant than that resulting from the global financial crisis (GFC). During COVID-19, the majority of the spillover effects from economic uncertainty to returns and volatilities of the three indices focused on the long term.
通过运用时频域框架，本研究分析了疫情引发的基于新闻的经济不确定性对美国、欧洲和全球三个可再生能源股票指数的溢出效应。实证结果表明，经济不确定性对三个可再生能源股票回报的总溢出集中在高频，而对波动率的溢出则出现在低频。利用滚动窗口方法，我们观察到新冠疫情引发的不确定性对三个可再生能源股票回报和波动率的影响比全球金融危机（GFC）造成的影响更为显著。在新冠疫情期间，经济不确定性对三个指数回报和波动率的溢出效应大多集中在长期。
