Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation
This study examines volatility spillovers among climate-policy-relevant sectors in the Chinese stock market across both time and frequency domains. It further explores the impact of climate policy uncertainty on the risk spillover effect in the Chinese stock market and its underlying mechanisms. The...
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| 格式: | Article |
| 語言: | 英语 |
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KeAi Communications Co., Ltd.
2025-09-01
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| 叢編: | Journal of Management Science and Engineering |
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| 在線閱讀: | http://www.sciencedirect.com/science/article/pii/S209623202500023X |
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| _version_ | 1839637382712786944 |
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| author | Zhiwei Zhang Yahua Xu Fei Su |
| author_facet | Zhiwei Zhang Yahua Xu Fei Su |
| author_sort | Zhiwei Zhang |
| collection | DOAJ |
| description | This study examines volatility spillovers among climate-policy-relevant sectors in the Chinese stock market across both time and frequency domains. It further explores the impact of climate policy uncertainty on the risk spillover effect in the Chinese stock market and its underlying mechanisms. The results reveal strong risk spillovers among climate-policy-relevant sectors across both time and frequency scales and emphasise that these are primarily driven by short-term risk contagion in the lower frequency bands. Additionally, climate policy uncertainty significantly reduces the risk spillover effect among climate-policy-relevant sectors. Further analysis demonstrates that investors' risk perception and adjustments in investment strategies are key channels through which climate policy uncertainty affects sectoral volatility spillovers. Overall, this study highlights the nonlinear and complex relationship between climate policy uncertainty and stock market spillovers, offering valuable practical insights for investors and policymakers. |
| format | Article |
| id | doaj-art-ebe84fb4f35240c1a4517e86bfef2fc4 |
| institution | Matheson Library |
| issn | 2096-2320 |
| language | English |
| publishDate | 2025-09-01 |
| publisher | KeAi Communications Co., Ltd. |
| record_format | Article |
| series | Journal of Management Science and Engineering |
| spelling | doaj-art-ebe84fb4f35240c1a4517e86bfef2fc42025-07-07T04:06:35ZengKeAi Communications Co., Ltd.Journal of Management Science and Engineering2096-23202025-09-01103332347Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluationZhiwei Zhang0Yahua Xu1Fei Su2College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, Jiangsu, 211106, ChinaChina Economics and Management Academy, School of Innovation and Development, Central University of Finance and Economics, Beijing, 100081, ChinaCollege of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, Jiangsu, 211106, China; Corresponding author.This study examines volatility spillovers among climate-policy-relevant sectors in the Chinese stock market across both time and frequency domains. It further explores the impact of climate policy uncertainty on the risk spillover effect in the Chinese stock market and its underlying mechanisms. The results reveal strong risk spillovers among climate-policy-relevant sectors across both time and frequency scales and emphasise that these are primarily driven by short-term risk contagion in the lower frequency bands. Additionally, climate policy uncertainty significantly reduces the risk spillover effect among climate-policy-relevant sectors. Further analysis demonstrates that investors' risk perception and adjustments in investment strategies are key channels through which climate policy uncertainty affects sectoral volatility spillovers. Overall, this study highlights the nonlinear and complex relationship between climate policy uncertainty and stock market spillovers, offering valuable practical insights for investors and policymakers.http://www.sciencedirect.com/science/article/pii/S209623202500023XG11G12G14 |
| spellingShingle | Zhiwei Zhang Yahua Xu Fei Su Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation Journal of Management Science and Engineering G11 G12 G14 |
| title | Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation |
| title_full | Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation |
| title_fullStr | Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation |
| title_full_unstemmed | Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation |
| title_short | Climate policy uncertainty and dynamic volatility spillovers in Chinese stock market: Based on sectoral evaluation |
| title_sort | climate policy uncertainty and dynamic volatility spillovers in chinese stock market based on sectoral evaluation |
| topic | G11 G12 G14 |
| url | http://www.sciencedirect.com/science/article/pii/S209623202500023X |
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