Stormy Forecasts: How Climate Policy Uncertainty Drives Index Returns A cross‐country and ‐sectoral comparison
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2024-07-11
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en
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This paper investigates the relation between climate policy uncertainty (CPU) and stock market performance, highlighting national – and sectoral differences. Utilizing the CPU index from Gavriilidis (2021), I perform a reversed unrestricted mixed data sampling regression (RU-MIDAS) to analyse 33 countries over the period 2004-2020. The results reveal a divergence in the effect of CPU on stock returns with a positive and significant effect observed in several European countries. Given the EU’s stringent environmental policies, this suggests that being a frontrunner in the climate transitions presents opportunities rather than challenges. This paper contributes to academic literature by confirming and extending findings of recent studies and adds to the growing body of work on climatological effects on financial markets worldwide.
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Faculteit der Managementwetenschappen