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Finance Research Letters
; 51:103506, 2023.
Article
Dans Anglais
| ScienceDirect | ID: covidwho-2120210
Résumé
This paper mainly investigates whether the climate policy uncertainty index (CPU) can predict the volatility of Chinese stock market volatility considering different sectors. Out-of-sample results show that climate policy uncertainty index can have a greater effect on the utility sector. We also investigate the effects of CPU based on longer horizons, different volatility levels and the COVID-19 pandemic. This paper tries to provide new evidence based on sector stock indices.