Economic and climate policy uncertainty, geopolitical risk and life insurance premiums in China: A quantile ARDL approach

Xiang, Feiyun; Chang, Tsangyao; Jiang, Shijie

doi:10.1016/j.frl.2023.104211

Cited by 6 publications

(2 citation statements)

References 25 publications

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“…However, methodological limitations pose barriers to conducting asymmetric analysis, as few approaches effectively handle asymmetry and data at varying frequencies simultaneously. Limited studies often rely on ARDL models for asymmetry using consistent low-frequency data, which also lacks support from alternative methods (Xiang et al 2023;Simran and Sharma 2023). The literature on the dynamic relationship between assets and stock markets bifurcates into two main streams.…”

Section: Literature Reviewmentioning

confidence: 99%

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Yu,

Xu,

Chen

2024

JRFM

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Extreme shocks, including climate change, economic sanctions, geopolitical conflicts, etc., are significant and complex issues currently confronting the global world. From the US–China perspective, this paper employs the DCC-DAGM model to investigate how diverse market risks asymmetrically affect return volatility, and extract correlations between stock indices and hedging assets. Then, diversified and hedging portfolios, constructed by optimal weight and hedge ratio, are investigated using multiple risk reduction measures. The empirical results highlight that, first, diverse risks exhibit an asymmetric effect on the return volatility in the long term, while in the short term, the US stock market is more sensitive to negative return shocks than the Chinese market. Second, risks impact correlations differently across time horizons and countries. Short-term correlations are stronger than long-term ones for the US market, with the Chinese stock market displaying more stable correlations. Third, the hedging strategy is more effective in reducing volatility and risk for US stocks, while the diversification strategy proves more effective for Chinese stocks. These findings have implications for market participants striving to make their portfolios robust during turbulent times.

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Section: Literature Reviewmentioning

confidence: 99%

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Yu,

Xu,

Chen

2024

JRFM

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“…Attractive insurance policies against climate change risks can help financial security in case of sudden consequences (Collier, Elliott, and Lehtonen, 2021). Moreover, using risk-transfer mechanisms like catastrophe bonds can mitigate financial losses from risky weather incidents (Xiang, Chang, and Jiang, 2023).…”

Section: Introductionmentioning

confidence: 99%

Climate Change Effects and Stock Market Returns

Luqman,

Farag,

Khakwani

et al. 2024

RAMSS

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To capture climate change risk at the business level, use records of performance briefings from different enterprises. This examination discovers that chances of worst climate change, the negative impact of business environment risk on market stock returns. Study also conducts a broad assessment of the empirical and theoretical literature on the influence of climate change related risks on financial market. The main aim of this analysis is to enhance our knowledge of the estimation significances of climate change risk in financial markets. It is initiated by discussing the theoretical connections between market asset pricing and climate change related risks, and then propose a hypothesis of how climate change risk drivers convey costs to enterprises and cause stock returns variations. It studies the historical climate change related events, which indicate that both climate physical effects and transition dynamics can cause a stock return volatility. Finally, the results imply that disclosures of climate change related information can support the stock market in more efficiently as pricing climate risk.

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Insurer hedging amidst the interplay of black and green swans toward SDGs 3 and 7

Chen,

Duan,

Chiu

et al. 2024

Energy Economics

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Economic and climate policy uncertainty, geopolitical risk and life insurance premiums in China: A quantile ARDL approach

Cited by 6 publications

References 25 publications

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Climate Change Effects and Stock Market Returns

Insurer hedging amidst the interplay of black and green swans toward SDGs 3 and 7

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