No Cover Image

Journal article 184 views

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

Boru Ren Orcid Logo, Brian Lucey Orcid Logo

Energy Economics, Volume: 119, Start page: 106526

Swansea University Author: Boru Ren Orcid Logo

Full text not available from this repository: check for access using links below.

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...

Full description

Published in: Energy Economics
ISSN: 0140-9883
Published: Elsevier BV 2023
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa64718
Tags: Add Tag
No Tags, Be the first to tag this record!
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.
Keywords: Herd behaviour, New energy, Clean energy, Time-varying, Stock market effect
College: Faculty of Humanities and Social Sciences
Start Page: 106526