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Return and Volatility Spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from Var-Mgarch Estimations

Objective of this paper is to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy related and technology companies in China and U.S. financial markets. Three different multivariate Generalised Autoregression Conditional Heteroscedasticity (VARMGARCH) model specifications are used to investigate the return and volatility spillovers among series. By comparing these three models, we find that the VAR (1)-DCC (1,1) model with the skewed Student t distribution fits the data the best. The results of DCC estimation reveal that, on average, a $1 long position in Chinese clean energy companies in the Chinese financial market can be hedged for 18 cents with a short position in clean energy index in the U.S market. Our empirical findings provide investors and policymakers with the systematic understanding of spillover effects between China and U.S. clean energy stock markets. AMS/JEL classification: Q20, G11