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

Wendai Lv and Bin Li

Finance Research Letters, 2023, vol. 51, issue C

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.

Keywords: Climate policy uncertainty; Stock market volatility; COVID-19 pandemic; Long horizons (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006821

DOI: 10.1016/j.frl.2022.103506

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