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Environmental factors and financial market spillover

Author

Listed:
  • Yunzhi Lu

    (South China Normal University)

  • Iordanis Petsas

    (University of Scranton)

  • Jinghan Cai

    (University of Scranton)

Abstract

We investigate the impact of environmental factors (EFs) on financial market spillovers across 62 global benchmark stock indices. We find that EFs from origin and destination countries have asymmetric effects on financial market spillovers between them, and these impacts are primarily mediated through economic fundamentals. The observed asymmetries are well-explained by the industrialization-agriculturalization dichotomy: highly industrialized countries tend to exert stronger spillover effects as origin countries and are less affected as receivers, while more agriculturalized countries exhibit weaker spillover effects as origin countries and are more susceptible as receivers. These findings hold for both return and volatility spillovers.

Suggested Citation

  • Yunzhi Lu & Iordanis Petsas & Jinghan Cai, 2025. "Environmental factors and financial market spillover," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(2), pages 568-612, June.
    • Handle: RePEc:spr:jecfin:v:49:y:2025:i:2:d:10.1007_s12197-025-09715-z
    DOI: 10.1007/s12197-025-09715-z
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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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