The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility - Audencia
Article Dans Une Revue International Review of Financial Analysis Année : 2024

The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility

S. A. Raza
  • Fonction : Auteur
K. A. Khan
  • Fonction : Auteur
R. Benkraiem
K. Guesmi
  • Fonction : Auteur

Résumé

This research represents the first empirical evidence highlighting the significant role of climate policy uncertainty in predicting the green, clean, and sustainable financial markets volatility. The analysis incorporates Gavriilidis's (2021) recently introduced news-based climate policy uncertainty index. To conduct this investigation, an advanced econometric approach, namely GARCH-MIDAS, has been employed, considering two sample periods: (i) full period (ii) COVID-19 period. Furthermore, the study reveals that climate policy uncertainty amplifies volatility of the S&P Green Bond Index, S&P Global Clean Energy Index, and Dow Jones Sustainability Index, rendering these indices highly sensitive to such uncertainty. Additionally, the out-of-sample analysis demonstrates climate policy uncertainty as a strong predictor, with the GARCH-MIDAS model displaying superior predictive accuracy. The findings of this research bear significant implications for strategies related to risk mitigation and diversification of portfolio particularly for investors, policymakers, and portfolio managers.
Fichier sous embargo
Fichier sous embargo
0 3 15
Année Mois Jours
Avant la publication
vendredi 31 janvier 2025
Fichier sous embargo
vendredi 31 janvier 2025
Connectez-vous pour demander l'accès au fichier

Dates et versions

hal-04720742 , version 1 (09-10-2024)

Identifiants

Citer

S. A. Raza, K. A. Khan, R. Benkraiem, K. Guesmi. The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility. International Review of Financial Analysis, 2024, 102984, ⟨10.1016/j.irfa.2023.102984⟩. ⟨hal-04720742⟩

Collections

AUDENCIA UNAM
0 Consultations
0 Téléchargements

Altmetric

Partager

More