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How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?

Rabeh Khalfaoui, Salma Mefteh-Wali, Jean-Laurent Viviani, Sami Ben Jabeur, Abedin Abedin, Brian M. Lucey

Technological Forecasting and Social Change, Volume: 185, Start page: 122083

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1016/j.techfore.2022.122083

Abstract

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 p...

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Published in: Technological Forecasting and Social Change
ISSN: 0040-1625 1873-5509
Published: Elsevier BV 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa64229
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first_indexed 2023-09-20T14:26:43Z
last_indexed 2023-09-20T14:26:43Z
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spelling v2 64229 2023-08-31 How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets? 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF 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. Journal Article Technological Forecasting and Social Change 185 122083 Elsevier BV 0040-1625 1873-5509 Climate uncertainty, Clean energy, Network analysis, Carbon market, US stock market, Risk spillover 31 12 2022 2022-12-31 10.1016/j.techfore.2022.122083 http://dx.doi.org/10.1016/j.techfore.2022.122083 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-09-20T15:26:44.2772683 2023-08-31T17:31:01.4448116 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Rabeh Khalfaoui 1 Salma Mefteh-Wali 2 Jean-Laurent Viviani 3 Sami Ben Jabeur 4 Abedin Abedin 5 Brian M. Lucey 6
title How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
spellingShingle How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
Abedin Abedin
title_short How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
title_full How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
title_fullStr How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
title_full_unstemmed How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
title_sort How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author Abedin Abedin
author2 Rabeh Khalfaoui
Salma Mefteh-Wali
Jean-Laurent Viviani
Sami Ben Jabeur
Abedin Abedin
Brian M. Lucey
format Journal article
container_title Technological Forecasting and Social Change
container_volume 185
container_start_page 122083
publishDate 2022
institution Swansea University
issn 0040-1625
1873-5509
doi_str_mv 10.1016/j.techfore.2022.122083
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url http://dx.doi.org/10.1016/j.techfore.2022.122083
document_store_str 0
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description 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.
published_date 2022-12-31T15:26:43Z
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score 11.036815

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