Preprint Article Version 1 This version is not peer-reviewed

Interaction between Industrial Policy and Stock Price Volatility:Evidence from China’s Power Market Reform

Version 1 : Received: 24 April 2018 / Approved: 1 May 2018 / Online: 1 May 2018 (05:37:39 CEST)

A peer-reviewed article of this Preprint also exists.

Fan, Y.; Zhang, Z.; Zhao, X.; Yin, H. Interaction between Industrial Policy and Stock Price Volatility: Evidence from China’s Power Market Reform. Sustainability 2018, 10, 1719. Fan, Y.; Zhang, Z.; Zhao, X.; Yin, H. Interaction between Industrial Policy and Stock Price Volatility: Evidence from China’s Power Market Reform. Sustainability 2018, 10, 1719.

Journal reference: Sustainability 2018, 10, 1719
DOI: 10.3390/su10061719

Abstract

China combines green energy and industrial policy in its power market reform with various policy initiatives, including price support scheme for electricity from renewable sources and subsidies in the push for broader use of greener energy. This study focuses on the impacts of power market reform on the stock price volatility of listed power companies: 1) we use the Iterative Cumulative Sums of Squares (ICSS) algorithm to identify structural break points in stock prices; 2) we analyze the characteristics of stock price volatility based on the GARCH model; 3) we report the impact of power regulation on stock price fluctuations based on the Autoregressive Distributed Lag (ARDL) model. The result suggests three structural breaks in China’s power stock price volatility were related to the promulgation of power market reform policies. We find that industrial policies promote the reduction of power stock price fluctuations and its impact on power stock price volatility is consistent in the long run. However, our study also indicates the recent policies related to renewable energy do not have a very significant impact on the power stock market.

Subject Areas

industrial policy; stock price volatility; China’s power market

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Comment 1
Received: 16 May 2018
The commenter has declared there is no conflict of interests.
Comment: Seem interesting topic!
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