The Asymmetric Effects of Extreme Climate Risk Perception on Coal Futures Return Dynamics: Evidence from Nonparametric Causality-In-Quantiles Tests

Wang Gao, Jiajia Wei () and Shixiong Yang ()
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Wang Gao: Research Center for Finance and Enterprise Innovation, Hebei University of Economics and Business, Shijiazhuang 050062, China
Jiajia Wei: School of Mathematics and Statistics, Beijing Technology and Business University, Beijing 102488, China
Shixiong Yang: School of Statistics, Renmin University of China, Beijing 100872, China

Sustainability, 2023, vol. 15, issue 10, 1-19

Abstract: This paper uses nonparametric causality-in-quantiles tests to examine the asymmetric effects of climate risk perception (CRP) on the thermal and coking coal futures high-frequency returns and volatilities. The results show that CRP significantly impacts the dynamic high-frequency returns of the coal futures market, with volatility indicators exhibiting asymmetry at different percentiles and being more pronounced in a downward market. The influence of CRP on dynamic coal futures mainly transmits through continuous components, while its impact on coking coal futures primarily transmits through jump parts. Additionally, the positive and negative volatilities of coal futures are asymmetrically affected by CRP. By incorporating the climate risk perception factor, investors can better predict price fluctuations in the coal market. This study provides an important supplement to the theory of pricing climate risks, and it is beneficial for formulating financial policies related to climate risk management and promoting the sustainable development of the coal industry.

Keywords: climate risk perception; coal; high frequency; nonparametric causality-in-quantiles tests (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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