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Climate policy uncertainty and stock market volatility: Evidence from different sectors

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  • Lv, Wendai
  • Li, Bin

Abstract

This paper mainly investigates whether the climate policy uncertainty index (CPU) can predict the volatility of Chinese stock market volatility considering different sectors. Out-of-sample results show that climate policy uncertainty index can have a greater effect on the utility sector. We also investigate the effects of CPU based on longer horizons, different volatility levels and the COVID-19 pandemic. This paper tries to provide new evidence based on sector stock indices.

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  • Lv, Wendai & Li, Bin, 2023. "Climate policy uncertainty and stock market volatility: Evidence from different sectors," Finance Research Letters, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006821
    DOI: 10.1016/j.frl.2022.103506
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    Cited by:

    1. Wang, Jiqian & Li, Liang, 2023. "Climate risk and Chinese stock volatility forecasting: Evidence from ESG index," Finance Research Letters, Elsevier, vol. 55(PA).
    2. Treepongkaruna, Sirimon & Chan, Kam Fong & Malik, Ihtisham, 2023. "Climate policy uncertainty and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 55(PA).
    3. Naseer, Mirza Muhammad & Guo, Yongsheng & Bagh, Tanveer & Zhu, Xiaoxian, 2024. "Sustainable investments in volatile times: Nexus of climate change risk, ESG practices, and market volatility," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    4. Huthaifa Sameeh Alqaralleh, 2023. "The extreme spillover from climate policy uncertainty to the Chinese sector stock market: wavelet time-varying approach," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-17, December.

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