关键词: 清洁能源, 金属, 溢出效应, 投资组合

Abstract: As the world pays more and more attention to climate change, clean energy, as an important resource for addressing climate change challenges and achieving energy transformation, has shown strong development momentum. However, compared with traditional energy systems, clean energy systems are more metal-intensive and require the consumption of more critical metals in terms of both types and quantities.With the vigorous development of the clean energy industry, the consumption of metals in the clean energy system has gradually increased. Changes in supply and demand have led to a reshaping of the relationship between clean energy and the metal markets. The increased connectedness between clean energy and metals has intensified the cross-market spillover effect between the clean energy and metal markets. The risk spillover between the clean energy and metal markets will undoubtedly have an adverse impact on the long-term stable development of the green financial market. Therefore, accurately measuring the risk spillover level between the clean energy and metal markets and deeply analysing the risk spillover transmission characteristics and paths are crucial to preventing cross-market risk contagion and making investment and risk management decisions.
To provide insight into the financial connectedness and investment strategies between clean energy and metals, integrating the time-varying parametric vector autoregressive (TVP-VAR) model with the DY spillover index method, this paper examines the dynamic spillover effects between 11 clean energy sub-sector markets and metal markets. It uses complex network methods to construct directional risk spillover networks between clean energy and metal markets to analyse the risk contagion characteristics and paths of risk spillovers. Finally, based on the risk spillover analysis, a comprehensive sub-industry analysis of hedging and portfolio optimization between clean energy and metal markets is conducted to provide a reference for investors to mitigate risks and choose the optimal asset allocation strategy.
The results show that the spillover effects between clean energy and metal markets are time-varying and sensitive to financial and economic uncertainty events. There is heterogeneity in the spillover effects between clean energy sub-sector markets and metal markets. Specifically, there are strong spillover effects between energy management/energy storage equities and metal markets. Base metal is the spillover transmitter, while rare earth metal is the spillovers receiver. The results of the marginal net spillover network indicate that the shock of COVID-19 pandemic has led to a significant increase in risk spillover effects between clean energy and metal markets. Diversification benefits can be achieved by adding metal assets to most clean energy portfolios, with the cost and effectiveness of hedging depending on the type of clean energy stocks.
Our research provides important reference for policymakers in developing risk management frameworks and for investors in making optimal portfolio allocation decisions. In the current context where clean energy firm stocks have become the main choice for environmental investors, designing portfolio strategies for clean energy and metal stocks is conducive to effectively exerting the positive environmental and socio-economic impacts on clean energy investment. Future research will further explore the connectedness between more different types of metals and the clean energy market. In addition, the inclusion of traditional energy markets can be further considered in investment portfolio strategies to provide investors with a reference for avoiding investment risks and maintaining financial market stability.

Key words: clean energy, metals, spillover effects, portfolio