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Asymmetric effects of media climate sentiment divergence on the volatility of green and grey energy stocks

Author

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  • Fu, Yating
  • He, Lingyun
  • Xia, Yufei
  • Liu, Rongyan
  • Chen, Ling

Abstract

We analyze 542,496 posts from Sina Weibo and construct a media climate sentiment divergence (MCSD) indicator to investigate the asymmetric impact of disagreement on green and grey energy markets. To this end, a non-linear autoregressive distributed lag (NARDL) model with daily data from January 2, 2014 to September 28, 2023 is employed, and the results show that since the negative change is significantly larger than the positive, MCSD and energy stocks volatility are asymmetric in the short- and long- term. Greater MCSD corresponds to larger absolute price changes in energy stocks, resulting in increased volatility, and green ones are more prominent than grey ones due to the herding effect. In addition, different types of MCSD have different impacts on the volatility of green and grey energy stocks and need to be treated differently. Our findings hold significant implications for financial regulators, retail investors, and energy companies.

Suggested Citation

  • Fu, Yating & He, Lingyun & Xia, Yufei & Liu, Rongyan & Chen, Ling, 2025. "Asymmetric effects of media climate sentiment divergence on the volatility of green and grey energy stocks," Finance Research Letters, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000637
    DOI: 10.1016/j.frl.2025.106798
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    More about this item

    Keywords

    Climate risks; Sentiment; Disagreement; Green energy; Grey energy; Asymmetric effects;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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