Climate events and return comovement

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2022-11-01 DOI:10.1016/j.finmar.2022.100731

Rui Ma , Ben R. Marshall , Hung T. Nguyen , Nhut H. Nguyen , Nuttawat Visaltanachoti

引用次数: 0

Abstract

We show that individual stock returns comove more with market returns when there are climate disasters such as hurricanes and floods. Comovement increases in the month of and the month following the disaster before declining back to normal levels. The disaster impact is stronger in recessions and crisis periods but is evident in all periods. The increased return correlation stems more from an increase in covariance than an increase in stock or market standard deviation. Moreover, we show climate events have a greater impact on comovement in stocks with greater sensitivity to their local economy and higher information asymmetry.

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气候事件和回归运动

我们发现，当发生飓风和洪水等气候灾害时，个股回报率与市场回报率的相关性更大。在灾难发生后的一个月和一个月，舒适度有所上升，然后下降到正常水平。灾难的影响在经济衰退和危机时期更强，但在所有时期都很明显。收益相关性的增加更多地源于协方差的增加，而不是股票或市场标准差的增加。此外，我们还表明，气候事件对股票的波动影响更大，对当地经济的敏感性更高，信息不对称性更高。

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

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.