Asymmetric effects of media climate sentiment divergence on the volatility of green and grey energy stocks

Yating Fu, Lingyun He, Yufei Xia, Rongyan Liu and Ling Chen

Finance Research Letters, 2025, vol. 74, issue C

Abstract: We analyze 542,496 posts from Sina Weibo and construct a media climate sentiment divergence (MCSD) indicator to investigate the asymmetric impact of disagreement on green and grey energy markets. To this end, a non-linear autoregressive distributed lag (NARDL) model with daily data from January 2, 2014 to September 28, 2023 is employed, and the results show that since the negative change is significantly larger than the positive, MCSD and energy stocks volatility are asymmetric in the short- and long- term. Greater MCSD corresponds to larger absolute price changes in energy stocks, resulting in increased volatility, and green ones are more prominent than grey ones due to the herding effect. In addition, different types of MCSD have different impacts on the volatility of green and grey energy stocks and need to be treated differently. Our findings hold significant implications for financial regulators, retail investors, and energy companies.

Keywords: Climate risks; Sentiment; Disagreement; Green energy; Grey energy; Asymmetric effects (search for similar items in EconPapers)
JEL-codes: G10 G41 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000637

DOI: 10.1016/j.frl.2025.106798

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