ArticleEnergy economics2022
China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?
Article in Energy economics, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 4 papers.
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4 citing papers in PubMed, 46 citations in OpenAlex.
- COVID-19 impact on wind and solar energy sector and cost of energy prediction based on machine learning.Heliyon · 2024Article
- Forecasting oil, coal, and natural gas prices in the pre-and post-COVID scenarios: Contextual evidence from India using time series forecasting tools.Resources policy · 2023Article
- COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis.Resources policy · 2022Article
- A multiscale integrated analysis of the COVID-19 restrictions: The energy metabolism of UK and the related socio-economic changes.Journal of cleaner production · 2022Article
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Authors and funding
5 authors at 1 institution in 1 country.
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Abstract
The price jump behavior may bring tremendous challenges on risk management and asset pricing. This paper uses the BN-S test, the wavelet coherence method, and applies high-frequency data to explore whether and to what extent the COVID-19 pandemic impacts China's energy stock market jumps and its characteristics. The empirical results uncover the significant and heterogeneous interactions between the COVID-19 pandemic and China's energy stock market jumps across market specifications, investment horizons, and China/global pandemic tolls at different time scales. First, the oil stock market jumps were the most correlated with the pandemic, especially during the peak and re-deterioration phases. The pandemic played a positive and leading role in the short term (1-4 days length period) and long term (over 32 days length period). Second, the coal stock market jumps have similar characteristics to those of oil, but mainly show a negative correlation with the pandemic. Third, renewable energy stock market jumps were the least correlated, mainly showing a positive correlation in the short term and a negative correlation in the long term. In addition, the interaction characteristics of systemic co-jumps in different China's energy stock markets are also significant.
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