Climate uncertainty and green index volatility: Empirical insights from Chinese financial markets
Huirong Zhao and
Na Luo
Finance Research Letters, 2024, vol. 60, issue C
Abstract:
This study investigates the influence of climate uncertainty on green index volatility (e.g., the China Low Carbon Index (CLC), CSI Green Investing Index (GI), CSI Environmental Governance Index (EG), SSE Social Responsibility Index (SR), and SSE Corporate Governance Index (CG)) by employing three climate uncertainty indicators: Chinese climate policy uncertainty (CPU), Chinese climate uncertainty (CU), and the US climate policy uncertainty index (UCPU). Employing an autoregressive (AR) model extended with climate uncertainty indicators for forecasting, our empirical findings shed light on the substantial predictive power of CPU and CU over green indices while highlighting the limited effectiveness of UCPU.
Keywords: Climate uncertainty; Green index; Volatility forecasting (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323012291
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012291
DOI: 10.1016/j.frl.2023.104857
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).