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Asymmetric pricing of climate policy uncertainty under heterogeneous stocks market conditions in China: evidence from GARCH and quantile models

Author

Listed:
  • Mohammed I. Shuaibu

    (University of Abuja)

  • Suleiman O. Mamman

    (Ural Federal University)

  • Jamilu Iliyasu

    (Ahmadu Bello University)

  • Wang Zhanqin

    (Ningbo Grand Property Co., Ltd)

Abstract

This study examines the asymmetric impact of climate policy uncertainty (CPU) under heterogeneous stock market conditions in the Chinese stock market. The study adopted two econometrics techniques of panel generalized autoregressive condition heteroscedasticity and panel quantiles via moment models. The results show that the markets’ response to CPU is homogeneous and varies across bearish, normal, and bullish conditions. The findings established that CPU is a risk factor, and its pricing is asymmetric as it depends on market conditions. The results also suggest that CPU is one of the predictors of future returns, but the forecast may be largely driven by market conditions. The study further shows how market’s response to CPU varies which often complicates prediction as the direction of response is determined by the market’s condition.

Suggested Citation

  • Mohammed I. Shuaibu & Suleiman O. Mamman & Jamilu Iliyasu & Wang Zhanqin, 2024. "Asymmetric pricing of climate policy uncertainty under heterogeneous stocks market conditions in China: evidence from GARCH and quantile models," Letters in Spatial and Resource Sciences, Springer, vol. 17(1), pages 1-14, December.
    • Handle: RePEc:spr:lsprsc:v:17:y:2024:i:1:d:10.1007_s12076-024-00372-0
    DOI: 10.1007/s12076-024-00372-0
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    Keywords

    Climate policy; Stock market; Homogeneous; Market conditions; Asymmetry; Quantile regression;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q58 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environmental Economics: Government Policy

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