The impact of climate policy uncertainty on stock price synchronicity: Evidence from China

Michelle Li, Xing Han and Youwei Li

Finance Research Letters, 2024, vol. 69, issue PB

Abstract: This paper examines the broad impact of climate policy uncertainty (CPU) on stock price synchronicity (SYN) using a newly developed news-based index. Our analysis covers listed firms in China from 2000 to 2022. We find that CPU significantly and negatively affects SYN. This negative relationship is particularly pronounced in high-polluting industries and is more evident after the Paris Agreement. These results remain robust across alternative measures of SYN.

Keywords: Climate risk; Policy uncertainty; Stock price synchronicity; China (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011954

DOI: 10.1016/j.frl.2024.106166

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