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Climate Policy Uncertainty and Stock Market Volatility

Author

Listed:
  • Lukman Lasisi
  • Philip C. Omoke
  • Afees A. Salisu

    (Centre for Econometrics and Applied Research, Ibadan, Nigeria)

Abstract

We examine the relationship between climate policy uncertainty (CPU) and stock market volatility using the GARCH-MIDAS framework to accommodate the variables in their available frequencies thereby circumventing information loss associated with data aggregation or splicing. We find that stock market volatility significantly responds to CPU and we further document improved forecast and economic gains of observing CPU relative to ignoring it.

Suggested Citation

  • Lukman Lasisi & Philip C. Omoke & Afees A. Salisu, 2024. "Climate Policy Uncertainty and Stock Market Volatility," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-6.
    • Handle: RePEc:ayb:jrnael:98
    DOI: 2024/06/29
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    References listed on IDEAS

    as
    1. Nicholas Apergis & Konstantinos Gavriilidis & Rangan Gupta, 2023. "Does climate policy uncertainty affect tourism demand? Evidence from time-varying causality tests," Tourism Economics, , vol. 29(6), pages 1484-1498, September.
    2. Salisu, Afees A. & Gupta, Rangan, 2021. "Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach," Global Finance Journal, Elsevier, vol. 48(C).
    3. Derek Lemoine, 2017. "Green Expectations: Current Effects of Anticipated Carbon Pricing," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 499-513, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Conventional stocks; GARCH-MIDAS; Predictability; Economic significance; Climate policy uncertainty;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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