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Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems
Lyu, Chenyan; Scholtens, Bert - 2022
weekly return and volatility data, constructed by the daily prices from four markets, covering the period April 2014 …
Persistent link: https://www.econbiz.de/10013405978
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Does Attention to Global Warming Cool Off Cryptocurrencies?
Ji, Yang; Li, Dongxu; Ning, Yiran - 2023
activeness of Ethereum, the second largest cryptocurrency in the world. Exploiting Ethereum’s transition to a green blockchain (i …
Persistent link: https://www.econbiz.de/10014350241
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Climate Change-Stock Return Volatility Nexus in Advanced Economies : The Role of Technology Shocks
Salisu, Afees; Isah, Kazeem - 2023
In this paper, we analyze the connection between climate change and stock return volatility. We use temperature … return volatility is episodic and varies with different degrees of intensity of high-temperature anomalies and technology …
Persistent link: https://www.econbiz.de/10014357001
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Do Investors Care About Carbon Risk? A Global Perspective
Zhang, Shaojun - 2022
Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon-intense business models earn higher returns in recent...
Persistent link: https://www.econbiz.de/10013403934
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The macroeconomic cost of climate volatility
Alessandri, Piergiorgio; Mumtaz, Haroon - 2021
We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We … show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate … temperatures, a +1oC increase in temperature volatility causes on average a 0.9 per cent decline in GDP growth and a 1.3 per cent …
Persistent link: https://www.econbiz.de/10012608712
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Do climate risks predict US housing returns and volatility? : evidence from a quantiles-based approach
Bouri, Elie; Gupta, Rangan; Marfatia, Hardik A.; Nel, … - 2022
Persistent link: https://www.econbiz.de/10013366537
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Climate risks and predictability of commodity returns and volatility : evidence from over 750 years of data
Nel, Jacobus; Gupta, Rangan; Wohar, Mark E.; … - 2022
Persistent link: https://www.econbiz.de/10013387607
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Heterogeneity Investor Attention to Climate Risk : Evidence From a Unique Dataset
Park, Hyejin; Kim, Minki; Ryu, Doojin - 2022
The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analyzing novel trading data for Korean listed firms that include investor...
Persistent link: https://www.econbiz.de/10013406230
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Climate Policy Uncertainty and the Cross-Section of Stock Returns
Chan, Kam Fong; Malik, Ihtisham - 2022
We study whether climate policy uncertainty (CPU) is priced cross-sectionally in individual stocks and find a significant negative relation. On average, the risk-adjusted annual future returns of stocks with low exposure to CPU are 6.5%–7.7% greater than the returns of stocks with high...
Persistent link: https://www.econbiz.de/10013292514
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Multifrequency Climate and Stock Returns
Harris, Jonathan - 2022
There are long-standing debates in the financial economics literature regarding long-run risks, return seasonality, the impact of weather and the impact of climate. By disentangling the data into different frequencies this paper contributes several results to these topics. I find significant...
Persistent link: https://www.econbiz.de/10014235468