The extreme spillover from climate policy uncertainty to the Chinese sector stock market: wavelet time-varying approach

Huthaifa Sameeh Alqaralleh ()
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Huthaifa Sameeh Alqaralleh: Mutah University

Letters in Spatial and Resource Sciences, 2023, vol. 16, issue 1, No 31, 17 pages

Abstract: Abstract This study investigates the extreme return connectedness between five major Chinese stock prices and climate uncertainty between March 2010 and June 2022. A novel wavelet time-varying parameter quantile vector Autoregression is employed. The results show that climate uncertainty depresses investment predominantly in normal periods while altering the lead-lag direction among these sector classes during turmoil periods. The results provide significant implications for investors and policymakers concerned with stock prices.

Keywords: Climate uncertainty; Quantile connectedness; W-Q-TVP-VAR (search for similar items in EconPapers)
JEL-codes: C32 C5 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s12076-023-00352-w

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