IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v74y2025ics1544612325000431.html
   My bibliography  Save this article

Time-frequency co-movements between climate uncertainty and carbon market returns: Evidence based on wavelet coherence analysis

Author

Listed:
  • Cao, Jin-Hui
  • Xie, Chi
  • Wang, Gang-Jin
  • Zhu, You
  • Liu, Jiatong

Abstract

We explore the co-movement between two climate-related uncertainty indices and five carbon market returns in China from a time-frequency perspective based on wavelet coherence analysis. The co-movements are fragmented and time-varying, exhibiting complex intercorrelations. Several occasions of high correlations between CU and the two market returns (Hubei and Shanghai) are observed in the medium- and long-term, while those between CPU and the three market returns (Shenzhen, Guangdong and Hubei) are mainly in the short- and medium-term. The Shenzhen and Beijing markets present a climate policy-oriented feature after 2018, as a consistently strong co-movement between CPU and them is revealed. In addition, we find that the increases in climate (policy) uncertainty tend to reduce carbon market returns, mainly showing a negative correlation.

Suggested Citation

  • Cao, Jin-Hui & Xie, Chi & Wang, Gang-Jin & Zhu, You & Liu, Jiatong, 2025. "Time-frequency co-movements between climate uncertainty and carbon market returns: Evidence based on wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000431
    DOI: 10.1016/j.frl.2025.106778
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612325000431
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2025.106778?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Climate uncertainty; Climate policy uncertainty; Carbon market return; Co-movement; Wavelet coherence;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000431. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.