全球气候变化与股票市场风险——基于GARCH-Copula-CoVaR模型  

Global Climate Change and Stock Market Risk:Based on the GARCH-Copula-CoVaR Model

作　　者：贾尚晖 陈薪卉 金佳宇 JIA Shanghui;CHEN Xinhui;JIN Jiayu

机构地区：[1]中央财经大学统计与数学学院

出　　处：《中央财经大学学报》2025年第2期105-121,138,共18页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金年度项目“气候变化对我国金融市场影响的统计分析”(项目编号:24BTJ043);国家社会科学基金年度项目“面向复杂金融数据的极端风险建模与应用研究”(项目编号:20BTJ042);中央高校基本科研业务费专项。

摘　　要：全球气候变化已经引起了政府和投资者对气候风险传导到股票市场的担忧,并进一步引发了对有效金融工具的需求。本文通过分析全球股票市场中的气候风险,支持中国制定绿色金融政策,加强金融体系韧性,加快绿色金融产品创新,促进资本市场可持续转型。研究基于2013—2023年气候变化指数和9个股票行业指数的日度收益率数据,采用Copula-CoVaR模型探讨极端气候风险对行业尾部风险的传染效应。结果显示,气候变化显著影响股票市场,特别是能源行业(如电力、化石和替代能源)。为了有效缓解气候风险,本文依据尾部风险传染模型的结果,进一步构建了GARCH对冲模型,计算气候变化指数与各行业指数的最优对冲比率,并评估其风险对冲效果。结果表明气候变化指数对所有行业都具有显著的风险对冲作用。本研究为市场参与者管理市场风险、制订投资策略和资产定价提供了重要参考,能够有效降低投资者受到的气候变化风险冲击。Global climate change has raised concerns among governments and investors about the transmission of climate risks to the stock market,further driving the demand for effective financial tools.This paper analyzes climate risks in global stock markets to support China in developing green finance policies,enhancing the resilience of the financial system,accelerating innovation in green financial products,and promoting the sustainable transformation of capital markets.The study,based on daily return data from the Climate Change Index and nine stock industry indices from 2013 to 2023,uses the Copula-CoVaR model to explore the contagion effects of extreme climate risks on industry tail risks.The results show that climate change significantly impacts the stock market,particularly in energy-related industries such as electricity,fossil fuels,and renewable energy.To effectively mitigate climate risks,the paper constructs a GARCH hedging model based on the contagion risk model,calculates the optimal hedging ratios between the Climate Change Index and each industry index,and evaluates their risk-hedging effects.The findings indicate that the Climate Change Index has a significant risk-hedging effect across all industries.This research provides valuable insights for market participants in managing market risks,formulating investment strategies,and asset pricing,effectively reducing the impact of climate change risks on investors.

关 键 词：气候变化 股票市场 风险溢出 Copula-CoVaR 

分 类 号：F831.5[经济管理—金融学]