Abstract
We combine the Diebold and Yilmaz (DY) method, Baruník and Křehlík (BK) method and TVP-VAR model to explore the time-domain and frequency-domain spillover effects among climate change attention, oil, new energy, clean energy, solar energy, wind energy, technology, and finance. Empirical results demonstrate that the spillover effect of climate change attention and energy-relevant market is significant. At different time frequencies, risk transmission occurs more frequently in the short-term. On average, oil, solar energy, wind energy, and finance are net receivers. Finally, based on the DCC-GARCH t-copula model, we achieve optimal hedging ratios, optimal portfolio weights, and hedging effectiveness between climate change attention and energy-relevant markets. Empirical results suggest that investors incorporate climate change attention into their investment portfolios.
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