Climate policy uncertainty and idiosyncratic volatility: Evidence from the non-financial listed hinese firms

This paper examines the impact of climate policy uncertainty on idiosyncratic volatility using panel data from 2555 Chinese non-financial listed firms spanning from 2009 to 2019. The study reveals that climate policy uncertainty increases idiosyncratic volatility among firms, particularly affecting state-owned enterprises, companies with high equity concentration, and companies with smaller market capitalization. Furthermore, the paper identifies varying moderating effects based on the disclosure of environmental information, sustainable growth rate, capital intensity, and risk-free interest rate. These findings remain robust through several rigorous tests. The paper contributes a deeper understanding of the relationship between climate change-related policy uncertainty and corporate idiosyncratic volatility.