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The impacts of climate policy uncertainty on stock market extreme risk spillovers

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  • Yang, Kun
  • Huang, Xinyue
  • Yu, Wenhua
  • Wei, Yu

Abstract

This study measures global stock market dynamic returns and extreme risk spillover intensities using the spillover index method based on the time-varying parameter vector autoregression model. We discuss the asymmetric effects of climate policy uncertainty (CPU) on three types of information spillovers at different quantiles. Finally, the shock and diffusion channels from climate policy uncertainty to global stock markets are also revealed. The empirical results indicate that CPU positively affects stock market information spillover intensities, with a clear asymmetry across quantiles and spillover relationships. Furthermore, the influences of CPU become more pronounced after three months and gradually dissipate after six months. CPU affects the Russian, Chinese, and Indian stock markets, and the spillover pathways to extreme risks in the global stock market are more complex.

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  • Yang, Kun & Huang, Xinyue & Yu, Wenhua & Wei, Yu, 2025. "The impacts of climate policy uncertainty on stock market extreme risk spillovers," Finance Research Letters, Elsevier, vol. 85(PB).
    • Handle: RePEc:eee:finlet:v:85:y:2025:i:pb:s1544612325012413
    DOI: 10.1016/j.frl.2025.107983
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