Impact of climate transition and physical risks on clean–dirty stock connectedness across market conditions

IF 5.7 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2026-07-01 Epub Date: 2026-05-08 DOI:10.1016/j.bir.2026.100838

Hela Ben Hamida, Shawkat Hammoudeh

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引用次数: 0

Abstract

This study examines the role of climate transition and climate physical risk in explaining the time-varying correlation between clean and dirty stocks under different market conditions. We employ three complementary and supportive frameworks: the multivariate Glosten, Jagannathan and Runkle GARCH (M-GJR-GARCH) model with dynamic conditional correlation (DCC), the autoregressive distributed lag (ARDL) model, and the wavelet quantile correlation (WQC) method, using a data sample spanning January 2015 to January 2025. We extend our standard GARCH-ARDL baseline analysis by integrating the WQC to examine the relationship among climate-aware, clean, and dirty stocks across different investment horizons and market states. The MJGR-GARCH-DCC model indicates that clean and dirty stocks are negatively and weakly correlated, with substantial time-varying patterns. The ARDL model indicates that, in the long run, only attention to climate physical risk adversely affects the clean–dirty correlation, while climate transition risk is insignificant. The WQC analysis demonstrates that the relationship between climate risk attention and stock correlation varies across time scales and market states. In the long term, heightened attention to climate risks attenuates the correlation, decreasing integration and amplifying diversification benefits. In the short term, however, the relationship is weaker and primarily influenced by market conditions. This indicates that decoupling occurs during downturns, whereas stronger coupling is observed in bullish or stable markets. Similar results are observed for global risk factors, including crude oil market volatility, financial stress, and investor sentiment. Our findings provide several actionable insights for policy and managerial strategies involving resilience, portfolio risk management during extreme events, investment horizon planning, market integration, and the impacts of policy and regulation.

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气候转型和物理风险对市场条件下清洁-肮脏股票连通性的影响

本研究探讨了气候变迁和气候物理风险在解释不同市场条件下清洁存量和脏存量时变相关性中的作用。我们使用了三个互补和支持的框架：具有动态条件相关（DCC）的多元Glosten， Jagannathan和Runkle GARCH （M-GJR-GARCH）模型，自回归分布滞后（ARDL）模型和小波分位相关（WQC）方法，使用的数据样本跨度为2015年1月至2025年1月。我们通过整合WQC来扩展标准GARCH-ARDL基线分析，以检查不同投资期限和市场状态下气候敏感、清洁和污染股票之间的关系。MJGR-GARCH-DCC模型表明，净存量与脏存量呈弱负相关，且具有明显的时变特征。ARDL模型表明，从长期来看，只关注气候物理风险会对清洁-脏相关产生不利影响，而气候过渡风险不显著。WQC分析表明，气候风险关注与股票相关性的关系在不同的时间尺度和市场状态下存在差异。从长期来看，对气候风险的高度关注削弱了相关性，降低了一体化，放大了多样化效益。然而，在短期内，这种关系较弱，主要受市场状况的影响。这表明脱钩发生在低迷时期，而在看涨或稳定的市场中观察到更强的耦合。类似的结果也适用于全球风险因素，包括原油市场波动、金融压力和投资者情绪。我们的研究结果为政策和管理策略提供了一些可操作的见解，包括弹性、极端事件期间的投资组合风险管理、投资范围规划、市场整合以及政策和法规的影响。

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

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations