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- Springer Journals
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- Copyright © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.
- ISSN
- 1864-4031
- eISSN
- 1864-404X
- DOI
- 10.1007/s12076-023-00352-w
- Publisher site
- See Article on Publisher Site
Abstract
This study investigates the extreme return connectedness between five major Chinese stock prices and climate uncertainty between March 2010 and June 2022. A novel wavelet time-varying parameter quantile vector Autoregression is employed. The results show that climate uncertainty depresses investment predominantly in normal periods while altering the lead-lag direction among these sector classes during turmoil periods. The results provide significant implications for investors and policymakers concerned with stock prices.
Journal
Letters in Spatial and Resource Sciences – Springer Journals
Published: Dec 1, 2023
Keywords: Climate uncertainty ; Quantile connectedness ; W-Q-TVP-VAR ; C32; C5; G15