Asymmetric pricing of climate policy uncertainty under heterogeneous stocks market conditions in China: evidence from GARCH and quantile models

Mohammed Shuaibu, Suleiman Mamman, Jamilu Iliyasu () and Wang Zhanqin ()
Additional contact information
Jamilu Iliyasu: Ahmadu Bello University
Wang Zhanqin: Ningbo Grand Property Co., Ltd

Letters in Spatial and Resource Sciences, 2024, vol. 17, issue 1, No 10, 14 pages

Abstract: Abstract This study examines the asymmetric impact of climate policy uncertainty (CPU) under heterogeneous stock market conditions in the Chinese stock market. The study adopted two econometrics techniques of panel generalized autoregressive condition heteroscedasticity and panel quantiles via moment models. The results show that the markets’ response to CPU is homogeneous and varies across bearish, normal, and bullish conditions. The findings established that CPU is a risk factor, and its pricing is asymmetric as it depends on market conditions. The results also suggest that CPU is one of the predictors of future returns, but the forecast may be largely driven by market conditions. The study further shows how market’s response to CPU varies which often complicates prediction as the direction of response is determined by the market’s condition.

Keywords: Climate policy; Stock market; Homogeneous; Market conditions; Asymmetry; Quantile regression (search for similar items in EconPapers)
JEL-codes: C33 G15 G18 Q58 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s12076-024-00372-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:lsprsc:v:17:y:2024:i:1:d:10.1007_s12076-024-00372-0

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/12076

DOI: 10.1007/s12076-024-00372-0

Access Statistics for this article

Letters in Spatial and Resource Sciences is currently edited by Henk Folmer and Amitrajeet A. Batabyal

More articles in Letters in Spatial and Resource Sciences from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().