Journal article 353 views
Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model
Boru Ren 
,
Brian Lucey
,
Brian Lucey
Energy Economics, Volume: 119, Start page: 106526
Swansea University Author:
Boru Ren
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DOI (Published version): 10.1016/j.eneco.2023.106526
Abstract
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 herdin...
| Published in: | Energy Economics |
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| ISSN: | 0140-9883 |
| Published: |
Elsevier BV
2023
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa64718 |
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| Abstract: |
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. |
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| Keywords: |
Herd behaviour, New energy, Clean energy, Time-varying, Stock market effect |
| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
106526 |