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Systemic risk in China new energy stock markets

Hui Hong (School of Economics, Zhejiang University of Technology, Hangzhou, China)
Shitong Wu (Nanchang University, Nanchang, China)
Chien-Chiang Lee (School of Economics and Management, Nanchang University, Nanchang, China)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 2 December 2022




The purpose of the paper is to assess the systemic risk in the new energy stock markets of China.


This paper first uses the VaR method to study individual stock market risks. It then introduces the DCC model to capture the dynamic conditional correlation among the new energy stock markets.


The paper shows a generally upward trend of the stock market risk over time in the recent decade. Among all the markets considered, the solar power market demonstrates the highest risk, closely followed by the wind power market, while the hydropower market exhibits the lowest risk. Furthermore, the average dynamic conditional correlations among the new energy markets stay high during the period under investigation though daily correlations vary and significantly declined in 2020.


To the best of the authors’ knowledge, this paper is the first of its kind to study the systemic risk within the new energy stock market context. In addition, it not only investigates individual new energy stock market risks but also examines the dynamic linkages among those markets, thus providing comprehensive and unprecedented evidence of systemic risk in China new energy markets, which have useful implications for both regulators and investors.



Ethical approval: This research does not contain any studies with human participants or animals performed by any of the authors.

Data availability statement: Data are available from the authors upon request.

Authors’ contributions: All authors contributed equally to this work. They provided critical feedback and helped shape the research, analysis and manuscript.

Conflicts of interest: All authors declare that they have no conflicts of interest.


Hong, H., Wu, S. and Lee, C.-C. (2022), "Systemic risk in China new energy stock markets", International Journal of Emerging Markets, Vol. ahead-of-print No. ahead-of-print.



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