Climate risk and Chinese stock volatility forecasting: Evidence from ESG index

Jiqian Wang and Liang Li

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: This study employs a generalised autoregressive conditional heteroscedasticity mixed data sampling model (GARCH-MIDAS) to explore the forecasting performance of Chinese climate uncertainty (CU), Chinese climate policy uncertainty (CEU), Chinese economic policy uncertainty (CEPU), and US climate policy uncertainty (UCU) in both CSI 300 ESG and SSEC index volatility forecasting. The empirical results indicate that CU and CEU can significantly drive CSI 300 ESG volatility and outperform CEU and UCU. This may be caused by investors paying more attention to climate risk with the advent of the ESG score.

Keywords: Climate risk; Volatility forecasting; Climate uncertainty; ESG (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002702

DOI: 10.1016/j.frl.2023.103898

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