The impact of climate policy uncertainty on stock price synchronicity: Evidence from China

Li, Michelle; Han, Xing; Li, Youwei

Abstract

This paper examines the broad impact of climate policy uncertainty (CPU) on stock price synchronicity (SYN) using a newly developed news-based index. Our analysis covers listed firms in China from 2000 to 2022. We find that CPU significantly and negatively affects SYN. This negative relationship is particularly pronounced in high-polluting industries and is more evident after the Paris Agreement. These results remain robust across alternative measures of SYN.

Citation

Li, M., Han, X., & Li, Y. (2024). The impact of climate policy uncertainty on stock price synchronicity: Evidence from China. Finance research letters, 69, Article 106166. https://doi.org/10.1016/j.frl.2024.106166

• Journal Article Type: Article
• Acceptance Date: Sep 17, 2024
• Online Publication Date: Sep 24, 2024
• Publication Date: Nov 1, 2024
• Deposit Date: Oct 1, 2024
• Publicly Available Date: Oct 8, 2024
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 69
• Article Number: 106166
• DOI: https://doi.org/10.1016/j.frl.2024.106166
• Keywords: Climate risk; Policy Uncertainty; Stock price synchronicity; China
• Public URL: https://hull-repository.worktribe.com/output/4859323