气候变化领域集成服务门户(CCPortal): How do climate risk and clean energy spillovers, and uncertainty affect US stock markets?

CCPortal

DOI	10.1016/j.techfore.2022.122083
	How do climate risk and clean energy spillovers, and uncertainty affect US stock markets?
	Khalfaoui, Rabeh; Mefteh-Wali, Salma; Viviani, Jean-Laurent; Ben Jabeur, Sami; Abedin, Mohammad Zoynul; Lucey, Brian M.
发表日期	2022
ISSN	0040-1625
EISSN	1873-5509
卷号	185
英文摘要	In this study, we attempt to revisit how dependent the US stock market returns are on climate change related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index, carbon price, general and climate uncertainty) on US Small Minus Big (SMB) and High Minus Low (HML) factors. Statically, our findings reveal that the indexes of the clean energy and new energy innovation industry (green companies) and climate policy uncertainty are drivers of the transmission spillover network, especially in extreme market scenarios. Dynamically, CCRR proxies act as net contributors and/or net receipts of shock spillovers over time and across the quantiles of the joint distribution. We further find that the spillover connectedness network is very sensitive to market states and that the strength of the effects of CCRR proxies are more pronounced under bust and boom markets. Our findings are beneficial for environmental investors and policymakers responsible for portfolio diversification strategies.
英文关键词	Climate uncertainty Clean energy Network analysis Carbon market US stock market Risk spillover
语种	英语
WOS研究方向	Business ; Regional & Urban Planning
WOS类目	Social Science Citation Index (SSCI)
WOS记录号	WOS:000876433000006
来源期刊	TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/280540
作者单位	Universite de Lorraine; ESSCA School of Management; Universite de Rennes; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); University of Teesside; Trinity College Dublin; Jiangxi University of Finance & Economics
推荐引用方式 GB/T 7714	Khalfaoui, Rabeh,Mefteh-Wali, Salma,Viviani, Jean-Laurent,et al. How do climate risk and clean energy spillovers, and uncertainty affect US stock markets?[J],2022,185.
APA	Khalfaoui, Rabeh,Mefteh-Wali, Salma,Viviani, Jean-Laurent,Ben Jabeur, Sami,Abedin, Mohammad Zoynul,&Lucey, Brian M..(2022).How do climate risk and clean energy spillovers, and uncertainty affect US stock markets?.TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,185.
MLA	Khalfaoui, Rabeh,et al."How do climate risk and clean energy spillovers, and uncertainty affect US stock markets?".TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE 185(2022).