Examining climate risk attention in stock markets: insights from quantile-on-quantile regression

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-09-28 DOI:10.1016/j.najef.2025.102544

Lili Zhao , Yutong Lin , Zhenhao Liu , Guozheng Yang

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引用次数: 0

Abstract

Climate change has profound effects on society and the global economy. This study investigates the impact of climate risk attention (CRA) on China’s overall and sectoral stock markets by constructing a CRA index and applying the Quantile-on-Quantile regression approach. We find asymmetric and heterogeneous effects of CRA on the overall stock market, with the strongest positive effects concentrated in the upper quantiles. The results also reveal a saturation point beyond which further increases in CRA exert diminishing influence. At the sectoral level, high CRA is positively associated with non-distressed market states in Public Utilities, Information Technology, Optional Consumption, Materials, and Industrials. By contrast, its significant effects appear only during extremely prosperous conditions in Real Estate and Source Energy. Both low and high CRA are positively linked to upside volatility in the Medical Care and Daily Consumption sectors. The Financials sector responds mainly on the downside, with reduced CRA showing a positive association. Our findings underscore the importance of integrating climate risk considerations into financial strategies to support sustainable market development.

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考察股市对气候风险的关注：来自分位数对分位数回归的见解

气候变化对社会和全球经济产生深远影响。本文通过构建气候风险关注（CRA）指数，采用分位数对分位数回归方法，探讨了气候风险关注对中国整体和行业股票市场的影响。我们发现CRA对整个股票市场的影响是不对称的和异质性的，其中最强烈的积极影响集中在高分位数。结果还揭示了一个饱和点，超过这个饱和点，CRA进一步增加的影响就会减弱。在行业层面上，高CRA与公用事业、信息技术、可选消费、材料和工业领域的非困境市场状态呈正相关。相比之下，它的显著影响只出现在房地产和能源极其繁荣的条件下。CRA的高低都与医疗保健和日常消费板块的上行波动呈正相关。金融板块的反应主要是下行，CRA的降低显示出正相关。我们的研究结果强调了将气候风险因素纳入金融战略以支持可持续市场发展的重要性。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.