Climate physical risk and Asian stock market returns

Marina Albanese, Guglielmo Maria Caporale, Ida Colella and Nicola Spagnolo

Chapter 4 in Handbook of Climate Change and Financial Markets, 2026, pp 58-73 from Edward Elgar Publishing

Abstract: This chapter provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries, as well as for a subset of 18 Asian countries, which are also divided into two clusters on the basis of their degree of market capitalisation. The results suggest a negative impact of climate physical risk on stock markets; this effect is more pronounced in Asian countries with lower market capitalisation, which are perceived as riskier.

Keywords: Climate change; Physical risk; Global Climate Risk Index; Stock markets; Asia; Panel data; Fixed effects (search for similar items in EconPapers)
Date: 2026
ISBN: 9781035340415
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