Climate risk perception and oil financialization in China: Evidence from a time-varying Granger model

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-11-23 DOI:10.1016/j.ribaf.2024.102662

Xiaohang Ren , Chenjia Fu , Yi Jin

引用次数: 0

Abstract

Financialization has introduced a new dimension to the oil market by incorporating various financial instruments and market participants. This study thus firstly measures the oil financialization by using daily data on Shanghai crude oil futures and Shanghai composite index. The results identify a lower level of oil financialization in China, implying that the oil market is independent on the stock market. Moreover, the exogenous events volatile the degree of oil financialization. We then estimate the impact of climate risk perception on oil financialization using a time-varying Granger model. Novel evidence finds negative and significant time-varying coefficients of climate risk perception on oil financialization, indicating that the effect of climate risk perception is non-constant over time. The empirical results reinforce the implications of the bounded rationality decision and signal theory.

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气候风险感知与中国石油金融化：来自时变Granger模型的证据

金融化通过整合各种金融工具和市场参与者，为石油市场引入了一个新的维度。因此，本研究首先利用上海原油期货和上证综合指数的日常数据来衡量石油金融化。结果表明，中国的石油金融化程度较低，这意味着石油市场独立于股票市场。此外，外生事件对石油金融化程度也有影响。然后，我们使用时变格兰杰模型估计了气候风险感知对石油金融化的影响。新的证据表明，气候风险感知对石油金融化的影响是负的且显著的时变系数，表明气候风险感知的影响随时间变化是不恒定的。实证结果强化了有限理性决策和信号理论的含义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance