Fu Zeyi, Niu Hongli, Wang Weiqing
School of Economics and Management, University of Science and Technology Beijing, Beijing, 100083 China.
Comput Econ. 2022 Aug 11:1-25. doi: 10.1007/s10614-022-10301-2.
Despite the upgrading of the attention and investment of new energy in Chinese public, its market efficiency and associations with other assets are relatively rarely explored. This paper, firstly, explores the multifractal feature and market efficiency of Chinese new energy market (NEI) by the multifractal detrended fluctuation analysis. Secondly, the multifractal cross-correlation analysis is performed to discuss the multifractality of cross-correlations between NEI and crude oil, external new energy indices (Global (SPGCE), United States (ECO) and Europe (ERIX)) and safe-haven asset (GOLD) respectively. The results show that Chinese new energy market has obvious multifractality with low market efficiency, which is mainly sourced from long-range correlation. It has the strongest linkages with external new energy markets and most insignificant association with gold. The heterogeneous sources contribute to their multifractal cross-correlations. It provides useful enlightenment for decision-makers to implement energy policy and reform, and for investors to make investment decisions.
尽管中国公众对新能源的关注度和投资不断提升，但其市场效率以及与其他资产的关联相对较少被探讨。本文首先通过多重分形去趋势波动分析探究中国新能源市场（NEI）的多重分形特征和市场效率。其次，进行多重分形交叉相关性分析，分别讨论NEI与原油、外部新能源指数（全球（SPGCE）、美国（ECO）和欧洲（ERIX））以及避险资产（黄金）之间交叉相关性的多重分形性。结果表明，中国新能源市场具有明显的多重分形性且市场效率较低，这主要源于长期相关性。它与外部新能源市场的联系最为紧密，与黄金的关联最不显著。异质来源导致了它们的多重分形交叉相关性。这为决策者实施能源政策和改革以及投资者做出投资决策提供了有益的启示。
