气候风险感知对金融市场的影响——基于中国企业层面的微观证据  

Climate Risk Perception and Its Impacts on Financial Markets:Micro-Evidence from Listed Firms in China

作　　者：姬强 赵万里[2] 张大永 郭琨 JI Qiangl;ZHAO Wanli;ZHANG Dayong;GUO Kun(Institutes of Science and Development,Chinese Academy of Sciences,Beijing 100190,China;School of Economics and Management,Beihang University,Beijing 100191,China;Research Institute of Economics and Management,Southwestern University of Finance and Economics,Chengdu 611130,China;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]中国科学院科技战略咨询研究院,北京100190 [2]北京航空航天大学经济管理学院,北京100191 [3]西南财经大学经济与管理研究院,成都611130 [4]中国科学院大学经济与管理学院,北京100190

出　　处：《计量经济学报》2022年第3期666-680,共15页China Journal of Econometrics

基　　金：国家自然科学基金“能源金融”(72022020);“能源市场金融化及其对我国能源风险管理的影响机制研究”(71974159)。

摘　　要：本文利用爬虫技术构建气候风险感知指数,并量化分析气候风险感知对我国股票市场的冲击影响.通过收集我国2452家上市公司的相关数据,从微观企业视角分析了气候风险感知对我国上市公司股票收益的同期效应,非对称效应,时滞效应和动态效应.研究发现,我国上市公司股票收益受气候风险感知冲击具有明显的非对称性,气候风险感知的增强对股票收益的影响范围更大.同时,我国股票收益对气候风险感知冲击具有明显的时滞效应,与同期相比,考虑时间滞后性后受冲击影响的上市公司数量明显增加.最后,近年来气候风险冲击对我国股票市场的影响呈现逐渐增强的态势.本文的研究发现能够为我国气候金融的研究提供新的微观证据,为金融监管部门和上市企业应对气候风险冲击提供决策参考.This paper uses data crawling approach to construct a climate risk perception index,and then quantitatively analyses its impacts on stock market performance in China.We take a bottom-up approach and collect 2452 listed firms'data for this purpose.Through empirically studying stock returns'responses to climate shocks,our results confirm significant asymmetric effects,in other words,increasing risk perception leads to broader impacts.We also find that the climate shocks have clear delayed effects.More firms responded to the shocks if we allow for lags in the model.In addition,we show that the responses of stock market to climate risk shocks have been increasing over time.Overall,the current study finds new evidence supporting the importance of climate finance research,and also provides critical information for regulators and firms to respond to climate risks.

关 键 词：气候风险感知 金融市场 股票收益 非对称性 

分 类 号：P467[天文地球—大气科学及气象学] F832.51[经济管理—金融学] F279.2