Climate Policy Uncertainty and Stock Market Volatility

Lukman Lasisi, Philip C. Omoke and Afees Salisu

Asian Economics Letters, 2024, vol. 5, issue 2, 1-6

Abstract: We examine the relationship between climate policy uncertainty (CPU) and stock market volatility using the GARCH-MIDAS framework to accommodate the variables in their available frequencies thereby circumventing information loss associated with data aggregation or splicing. We find that stock market volatility significantly responds to CPU and we further document improved forecast and economic gains of observing CPU relative to ignoring it.

Keywords: Conventional stocks; GARCH-MIDAS; Predictability; Economic significance; Climate policy uncertainty (search for similar items in EconPapers)
JEL-codes: D81 F37 G15 G17 (search for similar items in EconPapers)
Date: 2024
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