Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/301348 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 11222
Publisher: 
CESifo GmbH, Munich
Abstract: 
This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well as for a subset of 18 Asian ones, which are also divided in two clusters on the basis of their degree of market capitalisation. The results suggest a negative impact of climate physical risk on stock markets; this effect is more pronounced in Asian countries with lower market capitalisation, which are perceived as riskier.
Subjects: 
climate change
physical risk
Global Climate Risk Index
stock markets
Asia
panel data
fixed effects
JEL: 
C33
G12
G18
Document Type: 
Working Paper
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