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Correlation among climate risk, climate policy uncertainty, and carbon-intensive stock markets in China

Author

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  • Zhu, Yuxuan
  • Liu, Yike
  • Zhou, Ye
  • Xing, Xiaoyun
  • Wang, Xiuya

Abstract

This paper investigates the correlation between climate risk, climate policy uncertainty, and carbon-intensive stock markets in China. Using daily closing prices for eight carbon-intensive stock sectors from January 3, 2017 to July 27, 2022, we construct a complex network based on Kendall rank correlations. Additionally, the minimum spanning tree is employed to elucidate the topological structure, thereby demonstrating the impact of climate risk and climate policy uncertainty on China’s carbon-intensive markets. The paper shows that the proposal of dual carbon targets has made China’s carbon-intensive stock markets more susceptible to shocks resulting from climate change.

Suggested Citation

  • Zhu, Yuxuan & Liu, Yike & Zhou, Ye & Xing, Xiaoyun & Wang, Xiuya, 2025. "Correlation among climate risk, climate policy uncertainty, and carbon-intensive stock markets in China," Finance Research Letters, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000820
    DOI: 10.1016/j.frl.2025.106817
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    More about this item

    Keywords

    Climate policy uncertainty; Climate risk; Carbon-intensive stock market; Network analysis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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