Năng lượng tái tạo và thị trường chứng khoán ASEAN-6
Nội dung chính của bài viết
Tóm tắt
Nghiên cứu này sử dụng mô hình WLMC (Wavelet Local Multiple Correlation) để khám phá mối quan hệ trên các miền tần số (ngắn hạn, trung hạn và dài hạn) giữa thị trường năng lượng tái tạo (chỉ số S&P Global Clean Energy) và thị trường chứng khoán ASEAN-6 (gồm: Việt Nam, Thái Lan, Philippines, Indonesia, Malaysia và Singapore). Kết quả cho thấy, giữa thị trường năng lượng tái tạo và thị trường chứng khoán ghi nhận giá trị tương quan dương chủ yếu tại hầu hết thời gian – miền tần số. Trong đó, thị trường năng lượng tái tạo có khả năng đa dạng hóa tốt đối với thị trường chứng khoán Việt Nam, Philippines và Malaysia trong ngắn hạn, đối với Singapore từ trung hạn đến dài hạn. Ngoài ra, các sự kiện tiêu cực có ảnh hưởng đáng kể đến khả năng đa dạng hóa trong trung hạn, đặc biệt là đại dịch COVID-19 với tương quan lan rộng từ ngắn hạn đến dài hạn. Kết quả nghiên cứu hàm ý rằng sự kết nối tích cực giữa thị trường năng lượng tái tạo và thị trường chứng khoán ASEAN-6 vừa tiềm ẩn rủi ro hệ thống, vừa tạo điều kiện cho việc huy động vốn cần thiết cho các dự án xanh.
Abstract
This study employs the Wavelet Local Multiple Correlation (WLMC) model to explore the relationship across frequency domains (short-, medium-, and long-term) between the renewable energy market (S&P Global Clean Energy Index) and the ASEAN-6 stock markets (including Vietnam, Thailand, the Philippines, Indonesia, Malaysia, and Singapore). The results indicate a significantly positive correlation between the renewable energy market and the stock markets across major timescales. Specifically, the renewable energy market demonstrates good diversification potential for the stock markets of Vietnam, the Philippines, and Malaysia in the short term, and for Singapore in the medium to long term. Additionally, negative events significantly impact diversification potential in the medium term, especially the COVID-19 pandemic, which caused widespread correlation from the short to the long term. The findings imply that the positive connection between the renewable energy market and the ASEAN-6 stock markets poses both systemic risk and opportunities for mobilizing essential capital for green projects.
Từ khóa
Năng lượng tái tạo; Thị trường chứng khoán ASEAN; WLMC
Chi tiết bài viết
Lĩnh vực kinh tế (JEL Codes)
C01 - Econometrics - General, G10 - General - General Financial Markets, P28 - Natural Resources • Energy • Environment - Socialist Systems and Transitional Economies
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