The extreme spillover from climate policy uncertainty to the Chinese sector stock market: wavelet time-varying approach

被引：5
作者：
Alqaralleh, Huthaifa Sameeh [1 ]
机构：
[1] Mutah Univ, Dept Econ, Al Karak, Jordan
来源：
LETTERS IN SPATIAL AND RESOURCE SCIENCES | 2023年 / 16卷 / 01期
关键词：
Climate uncertainty; Quantile connectedness; W-Q-TVP-VAR;
D O I：
10.1007/s12076-023-00352-w
中图分类号：
P9 [自然地理学]; K9 [地理];
学科分类号：
0705 ; 070501 ;
摘要：
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.
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页数：17
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