Abstract
This paper uses nonparametric causality-in-quantiles tests to examine the asymmetric effects of climate risk perception (CRP) on the thermal and coking coal futures high-frequency returns and volatilities. The results show that CRP significantly impacts the dynamic high-frequency returns of the coal futures market, with volatility indicators exhibiting asymmetry at different percentiles and being more pronounced in a downward market. The influence of CRP on dynamic coal futures mainly transmits through continuous components, while its impact on coking coal futures primarily transmits through jump parts. Additionally, the positive and negative volatilities of coal futures are asymmetrically affected by CRP. By incorporating the climate risk perception factor, investors can better predict price fluctuations in the coal market. This study provides an important supplement to the theory of pricing climate risks, and it is beneficial for formulating financial policies related to climate risk management and promoting the sustainable development of the coal industry.
Sign-in/Register to access full text options 
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 callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
