Spillover effects of climate risks on stock markets: A sectoral analysis

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2026-03-01 Epub Date: 2026-02-10 DOI:10.1016/j.frl.2026.109633

Ali Kemal Çelik , Ömer Yalçınkaya , Yakup Söylemez , Hakan Cavlak

引用次数: 0

Abstract

This study highlights the heterogeneity of climate risk across sectors by analyzing the spillover effects of global climate risks—distinguished as physical and transition risks—on sectoral stock markets in the US using quantile vector autoregression (QVAR) and spillover indices. The quantitative analysis, based on evidence from the S&P 500 and its subsector indices, identifies strong contagion effects observed in both the lower and upper quantiles, revealing that climate risks have acquired systemic characteristics. The findings indicate that climate risks have become a key determinant of financial stability not only during crisis periods but also under all market conditions, and that the sensitivity across sectors varies considerably.

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气候风险对股票市场的溢出效应：一个行业分析

本研究通过使用分位数向量自回归（QVAR）和溢出指数分析全球气候风险（区分为物理风险和过渡风险）对美国行业股票市场的溢出效应，强调了气候风险在各行业之间的异质性。基于标准普尔500指数及其细分行业指数的证据进行的定量分析发现，在较低和较高的分位数中都观察到强烈的传染效应，表明气候风险已获得系统性特征。研究结果表明，气候风险不仅在危机期间，而且在所有市场条件下都已成为金融稳定的关键决定因素，而且各个部门的敏感性差异很大。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance