新能源行业和传统能源市场的联动性与风险溢出研究

Research on the Interdependence and Risk Spillover between the New Energy Sector and the Traditional Energy Market

摘要: 本文选取2014年1月1日至2023年12月31日间的国证新能源指数和中证能源期货综合指数分别代表新能源市场和传统能源市场，通过建立DCC-MVGARCH模型和MGARCH-BEKK模型对我国新能源市场和传统能源市场的动态相关关系和波动溢出效应进行了实证研究。结果表明：新能源市场和传统能源市场之间存在较强的联动性和传递性，两市场之间的动态相关性在长期保持平稳，且动态相关系数波动较强，两个市场动态关联的时变性明显；新能源市场和传统能源市场之间具有双向的波动溢出效应，新能源市场对传统能源市场的波动溢出程度显著和波动溢出持续性均显著，传统能源市场对新能源市场的波动溢出程度显著但波动溢出持续性不显著。

Abstract: This paper selects the CNI New Energy Index and the CSI Energy Futures Composite Index from January 1, 2014 to December 31, 2023 to represent the new energy market and the traditional energy market, respectively, and conducts an empirical study on the dynamic correlation and fluctuation spillover effects of the DCC-MVGARCH model and the MGARCH-BEKK model on China’s new energy market and the traditional energy market. The results show that the dynamic correlation between the new energy market and the traditional energy market shows strong linkage and transitivity, the dynamic correlation between the two markets remains stable in the long run, and the dynamic correlation coefficient fluctuates relatively strongly, and the time variation of the dynamic correlation between the two markets is relatively prominent. There is a two-way fluctuation spillover effect between the new energy market and the traditional energy market, the fluctuation spillover degree and the volatility spillover duration of the new energy market to the traditional energy market are significant, and the fluctuation spillover degree of the traditional energy market to the new energy market is significant but the fluctuation spillover persistence is not significant.