Climate change-stock return volatility nexus in advanced economies : the role of technology shocks

dc.contributor.authorPenzin, Dinci J.
dc.contributor.authorIsah, Kazeem O.
dc.contributor.authorSalisu, Afees A.
dc.date.accessioned2024-07-02T07:35:53Z
dc.date.available2024-07-02T07:35:53Z
dc.date.issued2025-01
dc.description.abstractPURPOSE : Given the systemic nature of climate change, there are many interdependencies between its primary components and feedback loops, emphasising the need to simultaneously consider the stock market implications of physical and transitional climate-related risks. More importantly, carbon emissions are expected to be reduced through various transition pathways. However, transitional climate risks have been validated as capable of predicting stock market behaviour, hence the motivation for the role of technology shocks. DESIGN/METHODOLOGY/APPROACH : We use a GARCH-MIDAS model to examine the relationship between climate change and stock return volatility since it enables data analysis at various frequencies within the same framework. We employ a novel dataset to track technology shocks, and the study spans decades of data from 1880 to 2018. FINDINGS : We find that the relationship between climate change and stock return volatility is episodic and varies with different degrees of intensity of high-temperature anomalies and technology shocks. Our results suggest that policy actions should include investing in climate technologies to reduce greenhouse gas emissions and encouraging investment in eco-friendly assets. ORIGINALITY/VALUE : There has been little or no consideration for the probable complementary effects of physical and transition climate-related risks on stock markets. Hence, the novelty in the context of this study is the hypothesis that transitional risks, if explored from the point of view of technological innovations, can moderate the stock market’s vulnerability to physical climate risks.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianhj2024en_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.urihttps://www.emerald.com/insight/publication/issn/0144-3585en_US
dc.identifier.citationPenzin, D.J., Isah, K.O. and Salisu, A.A. (2025), "Climate change-stock return volatility nexus in advanced economies: the role of technology shocks", Journal of Economic Studies, Vol. 52 No. 1, pp. 119-135. https://doi.org/10.1108/JES-08-2023-0419.en_US
dc.identifier.issn0144-3585
dc.identifier.other10.1108/JES-08-2023-0419
dc.identifier.urihttp://hdl.handle.net/2263/96751
dc.language.isoenen_US
dc.publisherEmeralden_US
dc.rights© 2024, Emerald Publishing Limited.en_US
dc.subjectClimate changeen_US
dc.subjectStock return volatilityen_US
dc.subjectTechnology shocksen_US
dc.subjectAdvanced economiesen_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.titleClimate change-stock return volatility nexus in advanced economies : the role of technology shocksen_US
dc.typePostprint Articleen_US

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