Financial markets and environmental risks: unveiling the impact of climate uncertainty

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-06-01 DOI:10.1016/j.ribaf.2025.102998

Shoaib Ali , Xu Xiaoyang , Samar S. Alharbi , Muhammad Shahid Rasheed

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Abstract

This paper examines the co-movement between Chinese climate policy uncertainty (CPU) and Twitter-based Chinese climate uncertainty (CU) on the eleven sectors of the Chinese equity market, utilizing monthly data from December 2011 to January 2023. To this end, we employ a wavelet-based analysis, which enables the investigation of bivariate relationships in time and frequency domains. The wavelet coherence plot indicates that the influence of CPU on equity sectors is relatively limited and largely insignificant. We also observe a substantial positive correlation between CU and the equity sector, particularly in the medium term (48 months), confirming the asymmetric relationship. Moreover, our results confirm heterogeneous market responses to different climate risks. The findings support the hedging and safe-haven characteristics of the equity sector with regard to climate risk. Finally, these outcomes have implications for policymakers and investors seeking to enhance the market stability and performance of their portfolios. Therefore, investors should consider including Chinese stocks in their portfolios to mitigate climate risk.

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金融市场和环境风险：揭示气候不确定性的影响

本文利用2011年12月至2023年1月的月度数据，研究了中国气候政策不确定性（CPU）和基于twitter的中国气候不确定性（CU）在中国股票市场11个板块上的协同运动。为此，我们采用基于小波的分析，这使得在时间和频域的二元关系的调查。小波相干图显示，CPU对股票板块的影响相对有限，基本上不显著。我们还观察到CU和股票行业之间存在显著的正相关关系，特别是在中期（48个月），证实了不对称关系。此外，我们的研究结果证实了市场对不同气候风险的异质反应。研究结果支持了股票行业在气候风险方面的对冲和避险特征。最后，这些结果对寻求提高市场稳定性和投资组合绩效的政策制定者和投资者具有启示意义。因此，投资者应考虑将中国股票纳入其投资组合，以减轻气候风险。

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