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Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies

Year 2013, Volume: 3 Issue: 3, 288 - 296, 01.09.2013

Yen-Hsien Lee Ya-Ling Huang Chun-Yu Wu

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

Year 2013, Volume: 3 Issue: 3, 288 - 296, 01.09.2013

Yen-Hsien Lee Ya-Ling Huang Chun-Yu Wu

Abstract

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Details

Other ID JA93DM58VT
Journal Section Research Article
Authors

Yen-Hsien Lee This is me

Ya-Ling Huang This is me

Chun-Yu Wu This is me

Publication Date September 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 3

Cite

APA 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.
AMA Lee YH, Huang YL, Wu CY. Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. IJEEP. September 2013;3(3):288-296.
Chicago Lee, Yen-Hsien, Ya-Ling Huang, and Chun-Yu Wu. “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”. International Journal of Energy Economics and Policy 3, no. 3 (September 2013): 288-96.
EndNote Lee Y-H, Huang Y-L, Wu C-Y (September 1, 2013) Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. International Journal of Energy Economics and Policy 3 3 288–296.
IEEE Y.-H. Lee, Y.-L. Huang, and C.-Y. Wu, “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”, IJEEP, vol. 3, no. 3, pp. 288–296, 2013.
ISNAD Lee, Yen-Hsien et al. “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”. International Journal of Energy Economics and Policy 3/3 (September 2013), 288-296.
JAMA Lee Y-H, Huang Y-L, Wu C-Y. Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. IJEEP. 2013;3:288–296.
MLA Lee, Yen-Hsien et al. “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”. International Journal of Energy Economics and Policy, vol. 3, no. 3, 2013, pp. 288-96.
Vancouver Lee Y-H, Huang Y-L, Wu C-Y. Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. IJEEP. 2013;3(3):288-96.