Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis

Despite the upgrading of the attention and investment of new energy in Chinese public, its market efficiency and associations with other assets are relatively rarely explored. This paper, firstly, explores the multifractal feature and market efficiency of Chinese new energy market (NEI) by the multi...

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Bibliographic Details
Published in:Computational economics 2023-10, Vol.62 (3), p.1287-1311
Main Authors: Fu, Zeyi, Niu, Hongli, Wang, Weiqing
Format: Article
Language:English
Subjects:
Alternative energy sources
Assets
Behavioral/Experimental Economics
Carbon
Clean technology
Computer Appl. in Social and Behavioral Sciences
Correlation analysis
Cross correlation
Crude oil
Crude oil prices
Decision makers
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Efficiency
Energy industry
Energy policy
Enlightenment
Fossil fuels
Gold
Industrial efficiency
Investments
Math Applications in Computer Science
Operations Research/Decision Theory
Renewable resources
Securities markets
Stock exchanges
Stock prices
Technology stocks
Volatility
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Summary:Despite the upgrading of the attention and investment of new energy in Chinese public, its market efficiency and associations with other assets are relatively rarely explored. This paper, firstly, explores the multifractal feature and market efficiency of Chinese new energy market (NEI) by the multifractal detrended fluctuation analysis. Secondly, the multifractal cross-correlation analysis is performed to discuss the multifractality of cross-correlations between NEI and crude oil, external new energy indices (Global (SPGCE), United States (ECO) and Europe (ERIX)) and safe-haven asset (GOLD) respectively. The results show that Chinese new energy market has obvious multifractality with low market efficiency, which is mainly sourced from long-range correlation. It has the strongest linkages with external new energy markets and most insignificant association with gold. The heterogeneous sources contribute to their multifractal cross-correlations. It provides useful enlightenment for decision-makers to implement energy policy and reform, and for investors to make investment decisions.
ISSN:0927-7099
1572-9974
DOI:10.1007/s10614-022-10301-2