Abstract
ABSTRACT This paper analyses the impact of climate policy on the risk transmissions in China’s stock markets from sectoral perspectives. By constructing a (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) GARCH-MIDAS model and conducting quantile regression tests, we find that climate policy exacerbates the tail risk spillover effect within the stock markets, while the sectoral effects would present heterogeneity. Both the spillovers and the systemic importance of finance and energy-intensive subsectors are susceptible to climate policy shocks. As for agriculture, its cross-sector spillovers are considerably intensified by climate policy, though its systemic importance is only enhanced by the policy in the long-run.
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.
