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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Autores principales: Fu, Zeyi, Niu, Hongli, Wang, Weiqing
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9371636/
https://www.ncbi.nlm.nih.gov/pubmed/35975113
http://dx.doi.org/10.1007/s10614-022-10301-2
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author Fu, Zeyi
Niu, Hongli
Wang, Weiqing
author_facet Fu, Zeyi
Niu, Hongli
Wang, Weiqing
author_sort Fu, Zeyi
collection PubMed
description 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.
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spelling pubmed-93716362022-08-12 Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis Fu, Zeyi Niu, Hongli Wang, Weiqing Comput Econ Article 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. Springer US 2022-08-11 /pmc/articles/PMC9371636/ /pubmed/35975113 http://dx.doi.org/10.1007/s10614-022-10301-2 Text en © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022, Springer Nature or its licensor holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Fu, Zeyi
Niu, Hongli
Wang, Weiqing
Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
title Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
title_full Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
title_fullStr Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
title_full_unstemmed Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
title_short Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis
title_sort market efficiency and cross-correlations of chinese new energy market with other assets: evidence from multifractality analysis
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9371636/
https://www.ncbi.nlm.nih.gov/pubmed/35975113
http://dx.doi.org/10.1007/s10614-022-10301-2
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AT wangweiqing marketefficiencyandcrosscorrelationsofchinesenewenergymarketwithotherassetsevidencefrommultifractalityanalysis

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