Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies


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Authors

  • Yen-Hsien Lee Chung Yuan Christian University
  • Ya-Ling Huang Chaoyang University of Technology
  • Chun-Yu Wu Chung Yuan Christian University

Abstract

This paper researches the abnormal information in the WilderHill Clean Energy Index (ECO) and NYSE Arca Technology Index (PSE) by using an autoregressive conditional jump intensity model in Skew Generalized Error Distribution (ARJI-SGED). The research period is from 3 January 2001 to 31 January 2011. We also test the diffusion-jump variance on the PSE and ECO. The empirical result indicates that there are jump phenomena in clean energy and technology companies. The oil price impacts on clean energy and technology companies. Moreover, the PSE has higher levels of volatility clustering than the ECO. These results show that the distributions of PSE return are skewed slightly to the left and fat-tailed. These also mean that jump variance plays a crucial role in market volatility indices. Keywords: Clean Energy; Abnormal Information; ARJI-SGED Model JEL Classifications: C2; G1; Q42

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Author Biographies

Yen-Hsien Lee, Chung Yuan Christian University

Department of Finance

Ya-Ling Huang, Chaoyang University of Technology

Golden-Ager Industry Management

Chun-Yu Wu, Chung Yuan Christian University

Department of Finance

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Published

2013-06-18

How to Cite

Lee, Y.-H., Huang, Y.-L., & Wu, C.-Y. (2013). Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. International Journal of Energy Economics and Policy, 3(3), 288–296. Retrieved from https://www.econjournals.com/index.php/ijeep/article/view/450

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