Next Article in Journal
A Current Sensor Fault Tolerant Control Strategy for PMSM Drive Systems Based on Cri Markers
Previous Article in Journal
Acceptance of Demand Response and Aggregators as a Solution to Optimize the Relation between Energy Producers and Consumers in order to Increase the Amount of Renewable Energy in the Grid
Previous Article in Special Issue
Greening Energy Finance of Multilateral Development Banks: Review of the World Bank’s Energy Project Investment (1985–2019)
Article

Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach

Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan
*
Author to whom correspondence should be addressed.
Academic Editors: Jae-Seung Lee and Hojeong Park
Energies 2021, 14(12), 3442; https://doi.org/10.3390/en14123442
Received: 13 May 2021 / Revised: 4 June 2021 / Accepted: 8 June 2021 / Published: 10 June 2021
(This article belongs to the Special Issue Energy Economic Analysis: Energy Transition and Sustainability)
We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach. The empirical results indicate that the average total connectedness is higher in the volatility system than in the return system. The investor sentiment has a weak impact on clean energy stock. Our results show that the dynamic total connectedness across assets in the system varies with time. Furthermore, the dynamic total connectedness increases significantly during financial turmoil. Dynamic total volatility connectedness is more sensitive to financial turmoil. By comparing the connectedness estimated by the TVP-VAR model with the rolling-window VAR model, we find the dynamic total return connectedness of the TVP-VAR model is similar to the estimated results of a 200 day rolling-window VAR model. View Full-Text
Keywords: clean energy; investor sentiment; TVP-VAR; dynamic connectedness clean energy; investor sentiment; TVP-VAR; dynamic connectedness
Show Figures

Graphical abstract

MDPI and ACS Style

Liu, T.; Hamori, S. Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach. Energies 2021, 14, 3442. https://doi.org/10.3390/en14123442

AMA Style

Liu T, Hamori S. Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach. Energies. 2021; 14(12):3442. https://doi.org/10.3390/en14123442

Chicago/Turabian Style

Liu, Tiantian; Hamori, Shigeyuki. 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach" Energies 14, no. 12: 3442. https://doi.org/10.3390/en14123442

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop