再生能源資產之風險外溢實證研究__臺灣人文及社會科學引文索引資料庫

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題名：	再生能源資產之風險外溢實證研究
作者：	王玉安
作者(外文)：	Yu-Ann Wang
校院名稱：	國立中興大學
系所名稱：	應用經濟學系所
指導教授：	張嘉玲
學位類別：	博士
出版日期：	2020
主題關鍵詞：	再生能源；原油市場；風險外溢效果；Diagonal BEKK模型；潛在風險之格蘭傑因果關係；從眾行為；風險管理；金融海嘯；Renewable Energy；Crude Oil Market；Diagonal BEKK model；Volatility；Risk Spillover；Co-volatility Spillover effects；Latent Volatility Granger Causality；Herd Behaviour；Hedging；Risk Management；Cross-area Effect；Cross-sector Effect；Financial Crisis
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:0

　　近年來能源議題在國際間備受重視，對其相關金融商品有著一定影響，尤其在價格波動方面備受關注，探討不同能源商品價格波動以及與風險外溢，可幫助投資者利用不同標的物之間的關係進行避險與價格預測。為了更深入探討再生能源金融市場的風險管理，本研究針對再生能源金融市場，分別探討與生質能源相關之農產品、再生能源ETF與能源股票市場，進行三篇風險外溢與從眾行為之實證研究探討。
　　第一篇研究針對生質酒精與農產品間之風險外溢效果做探討，以Diagonal BEKK模型，分析自2005年10月28日至2018年12月31日間，玉米、蔗糖與酒精之期貨和現貨的報酬日資料。研究結果發現，在現貨市場中，無論玉米、蔗糖與酒精間皆不存在風險外溢效果。因此當壞消息發生時，兩商品（現貨間）之聯合風險不受此消息影響而變動。在期貨市場中，則所有商品間均存在風險傳遞效果，其中，當蔗糖期貨受到衝擊時，蔗糖與玉米之聯合風險為負向關係；酒精期貨受到衝擊時，其與玉米之聯合風險變動亦為負；而其他四個組合間則存在正向的風險外溢效果。此結果表示，當壞消息發生時，期貨市場之任意兩商品的聯合風險強度下降，風險同向變動的關係減弱，可降低損失風險。因此在期貨市場中，我們可利用不同商品作為投資組合，降低風險。
　　第二篇研究針對再生能源ETF即太陽能（TAN）、風力（FAN）、水力（PIO）和核能（NLR）與原油ETF（USO）探討潛在風險之格蘭傑因果關係（Latent Volatility Granger Causality），以及其風險外溢效果。研究資料自2008年6月18日至2017年3月20日期間，以Diagonal BEKK模型推導Latent Volatility Granger Causality關係，並延伸Chang等人（2018）定義之風險外溢效果，將一商品受到衝擊時對聯合風險的影響擴展到一商品風險變動時對聯合風險的影響。實證結果發現，太陽能（TAN）、風能（FAN）、核能（NLR）以及原油（USO）ETF之間存在顯著正向Latent Volatility Granger Causality關係，且風力與水力對太陽能的影響比太陽能對水力和風力的影響更強。在風險傳遞的結果中，再生能源ETF的組合皆存在顯著風險外溢效果，即當一商品發生壞消息時，任意兩商品間之聯合風險有正向變動；但再生能源與原油ETF的組合則不存在風險外溢效果。最後，再生能源ETF的的風險變動時，對其與其他再生能源ETF的聯合風險有顯著的外溢效果；而原油與再生能源的組合間則不存在此效果。由研究結果可顯示，再生能源ETF的兩種資產可以作為金融投資組合中的避險工具，風險管理者可以選擇風險外溢效果較小的投資組合作為有用的對沖工具。
　　第三篇研究探討美洲，歐洲與亞洲再生能源和傳統能源股票市場之從眾行為，分析2000年3月24日至2020年3月4日的日報酬資料，包含2007-2009年的全球金融危機（GFC）。研究目的分析各州別之不同能源市場是否存在從眾，且探討石油報酬對投資者在能源市場的從眾影響。並進一步探討跨洲別及跨不同的能源市場是否存在從眾行為。研究結果發現：（1）在石油報酬極端低時，投資人在美洲、歐洲與亞州之再生能源股票市場中皆出現從眾行為；（2）研究針對金融海嘯與整個樣本時期進行比較，發現在金融海嘯後，當石油報酬極端高時，投資者有顯著的從眾行為發生。由本篇研究結果可顯示，當全球發生金融危機後，投資人對資產損失更加敏銳，因此相較於其他時間更可能跟隨其他投資者在股票市場的行為進一步發生從眾。另外，在跨市場從眾的研究中發現在金融海嘯前，美洲傳統能源對美洲再生能源股票市場有顯著的風險外溢效果，顯示在金融風暴發生前，投資人會跟隨其他市場投資行為而發生從眾。

以文找文

Since global warming and climate change problems have been widely concerned and discussed in the past decades, Governments all over the world have been paying great attention to the demand for renewable energy, the returns, and the volatility of renewable energy commodities and related financial assets. According to the 2019 IEA report, the demand for energy will rise by 1.3% each year to 2040, and the renewable energy capacity will have a number of two-thirds in all kinds of energy.
Moreover, energy demand has shown a strong relationship with the global economy in recent years. With more and more investors interested in renewable energy finance, the prices of renewable energy and its returns, and volatilities spillover have also become crucial research topics. In order to get a deeper understanding of the risk management of sustainability energy, my dissertation develops three research topics focusing on risk spillovers, latent volatility Granger causality, and market herd behaviour. Three research topics have been correspondence to the market of the bio-ethanol and its related agricultural commodities, the renewable energy Exchange Traded Funds (ETFs), and the world renewable energy stock returns, respectively.
The first essay interest in biofuel and its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and agricultural commodities. There have been many papers concerned with analyzing crude oil and agricultural commodities separately. The purpose of first essay is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The daily data used are from 28 October 2005 to 31 December 2018. The empirical results show that, for the spot market, there were no co-volatility spillover effects in all cases. For the results for the future markets, there are significant positive co-volatility spillover effects in 4 of 6 cases, namely between corn and sugarcane, corn and ethanol, and sugarcane and ethanol, and the reverse for ethanol and sugarcane. And in 2 of 6 cases of the future markets show to have significant negative co-volatility spillover effects, namely between sugarcane and corn, and ethanol and corn. It is clear that the futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co-volatility spillovers than their spot price counterparts. These empirical results suggest that the bio-ethanol and agricultural commodities should be considered as viable futures products in financial portfolios for risk management.
The second essay examined the latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR) from the period of 18 June 2008 to 20 March 2017, deriving Latent Volatility Granger causality from the Diagonal BEKK multivariate conditional volatility model and follow Chang et al. (2018)’s definition of the co-volatility spillovers of shocks, and extend the effects of the co-volatility spillovers of shocks to the effects of the co-volatility spillovers of squared shocks. The empirical results show there are significant positive latent volatility Granger causality relationships between solar (TAN), wind (FAN), nuclear (NLR), and crude oil (USO) ETFs, and the wind and water cause stronger impacts on solar than do solar shocks to water and wind. For the test of volatility spillovers, there are significant negative partial co-volatility spillovers effects from the shocks in the combinations for all renewable energy ETFs, but not between the cases of renewable energy to crude oil ETF. Furthermore, there are significant volatility spillovers of squared shocks for the renewable energy ETFs, but not with crude oil ETFs. The findings from the study imply that two assets of the renewable energy ETFs can be taken as a hedging instrument in an optimal financial portfolio and risk managers can choose a portfolio with a smaller value of volatility spillovers from squared shocks as a useful hedging instrument.
The third essay fill the gap by investigating herding behaviour in renewable energy markets by using the daily closing prices in renewable and fossil fuel energy stock returns in the USA, Europe, and Asia. The sample data are from 24 March 2000 - 24 March 2020, which covers the Global Financial Crisis (GFC) from 2007-2009. The novel empirical findings in the paper show that: (1) during periods of low extreme oil returns, particularly in the renewable energy sectors, investors are more likely to display herding behaviour in the stock market; (2) comparing the full sample with the period of GFC, herding is more likely to be prevalent during periods of extremely high oil returns after the GFC. These results suggest that after the GFC, investors are more sensitive to asset losses, so they will be more likely to follow other investors in the stock market. There are strong cross-sector herding spillover effects from the US fossil fuel energy market to other renewable energy markets, especially before the GFC.

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