Abstract

This paper mainly investigates whether the climate policy uncertainty index (CPU) can predict the volatility of Chinese stock market volatility considering different sectors. Out-of-sample results show that climate policy uncertainty index can have a greater effect on the utility sector. We also investigate the effects of CPU based on longer horizons, different volatility levels and the COVID-19 pandemic. This paper tries to provide new evidence based on sector stock indices.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call