新能源、化石能源和高科技公司股价动态相依结构研究  

Research on Dynamic Dependence Structure among the Stock Prices of New Energy,Fossil Energy,and High-technology Companies

作　　者：杜子平[1] 孙瑞泽 DU Zi-ping;SUN Ruize-ze(College of Economics and Management,Tianjin University of Science and Technology,Center for Financial Engineering and Risk Management,Tianjin University of Science and Technology,Tianjin 300222,China;Business School,Southern University of Science and Technology Guangdong 51805,China)

机构地区：[1]天津科技大学经济与管理学院,天津300222 [2]南方科技大学商学院,广东深圳518055

出　　处：《运筹与管理》2022年第12期157-164,共8页Operations Research and Management Science

基　　金：国家自然科学基金项目(71771171);教育部人文社会科学研究青年基金项目(19YJCZH251)。

摘　　要：将我国新能源、化石能源和高科技产业纳入同一分析框架,采用因果关系检验、时变copula模型、滚动窗口R藤copula模型研究了三者股价动态相依结构,结果表明:新能源与高科技产业的联动性超过了能源产业内部的联动性,在投资者视角中新能源产业具备较强的高科技属性;新能源与高科技产业的联动性呈下降趋势;新能源与高科技产业的尾部相关系数波动较大,新能源产业的高科技属性对扶持政策的变动较为敏感;新能源产业对高科技产业有长期、稳定的引领作用,而高科技产业仅在特定时期是新能源产业的格兰杰原因,这对“新能源产业的兴衰很大程度依赖于特定科技的发展”这一传统观点提出了质疑。This paper puts new energy, high-technology and fossil energy industry in the same framework, investigating dynamic dependence structure of their stock prices through causality tests, time-varying copula and rolling window R-vine copula, and the main results are: highest co-movement is observed between new energy and high-technology, which surpasses that within energy industry, indicating that investors view new energy as an industry with significant high-tech character;the dependence between new energy and high-technology shows an downward trend, while that between new energy and fossil energy is upward;the tail dependence between new energy and high-technology fluctuate wildly, which may suggest high sensitivity of new energyindustry’s high-technology character to policy change;instead of supporting the traditional view that the success of new energy companies depends on theapplication of specific technology, the empirical results pointtoanalternativemechanism.

关 键 词：新能源 动态相依性 时变COPULA 藤copula 非线性格兰杰因果关系 

分 类 号：F832.5[经济管理—金融学]