Climate Physical Risk and Asian Stock Market Returns

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

No 11222, CESifo Working Paper Series from CESifo

Abstract: This study 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 ones, which are also divided in 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)
JEL-codes: C33 G12 G18 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-inv and nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_11222

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