Investor climate sentiment and financial markets

Santi, Caterina

doi:10.1016/j.irfa.2023.102490

Cited by 42 publications

(14 citation statements)

References 80 publications

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“…The market reacts quickly to climate change news, which confirms the efficient market theory and speaks to the importance of the climate agenda for stock market participants. The existing results that the climate investor sentiment is able to impact the stock market (Santi, 2023) are partially confirmed.…”

Section: Impact Of Climate Change Newsmentioning

confidence: 67%

“…Research on climate change emphasizes the importance of its impact on financial market dynamics. For example, Santi (2023) analyzes investor climate sentiment based on…”

Section: Literature Review 21 Theoretical Basis Of the Studymentioning

confidence: 99%

“…Earlier studies rely on periods up to 2019 (Santi, 2023;Ardia et al, 2020;Capelle-Blancard and Petit, 2019), while our research covers a broad period from February 28, 2018, to February 28, 2023, supplementing the literature with up-to-date data. Climate change news was searched and gathered using the Dow Jones Factiva platform.…”

Section: Climate Change News Corpusmentioning

confidence: 99%

“…Although there are studies on similar topics (Santi, 2023; Piñeiro-Chousa et al ., 2022; Ardia et al ., 2020), this article makes theoretical and empirical contributions to the existing literature.…”

Section: Introductionmentioning

confidence: 99%

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The impact of climate change news on the US stock market

Fedorova,

Iasakova

2024

JRF

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PurposeThis paper aims to investigate the impact of climate change news on the dynamics of US stock indices.Design/methodology/approachThe empirical basis of the study was 3,209 news articles. Sentiment analysis was performed by a pre-trained bidirectional FinBERT neural network. Thematic modeling is based on the neural network, BERTopic.FindingsThe results show that news sentiment can influence the dynamics of stock indices. In addition, five main news topics (finance and politics natural disasters and consequences industrial sector and Innovations activism and culture coronavirus pandemic) were identified, which showed a significant impact on the financial market.Originality/valueFirst, we extend the theoretical concepts. This study applies signaling theory and overreaction theory to the US stock market in the context of climate change. Second, in addition to the news sentiment, the impact of major news topics on US stock market returns is examined. Third, we examine the impact of sentimental and thematic news variables on US stock market indicators of economic sectors. Previous works reveal the impact of climate change news on specific sectors of the economy. This paper includes stock indices of the economic sectors most related to the topic of climate change. Fourth, the research methodology consists of modern algorithms. An advanced textual analysis method for sentiment classification is applied: a pre-trained bidirectional FinBERT neural network. Modern thematic modeling is carried out using a model based on the neural network, BERTopic. The most extensive topics are “finance and politics of climate change” and “natural disasters and consequences.”

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Section: Impact Of Climate Change Newsmentioning

confidence: 67%

“…Research on climate change emphasizes the importance of its impact on financial market dynamics. For example, Santi (2023) analyzes investor climate sentiment based on…”

Section: Literature Review 21 Theoretical Basis Of the Studymentioning

confidence: 99%

Section: Climate Change News Corpusmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The impact of climate change news on the US stock market

Fedorova,

Iasakova

2024

JRF

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“…In this section, we provide economic interpretations on the source of the spillovers' predictive power for carbon volatility. Following Khan et al (2020), Santi (2020), van Benthem et al (2022), and He et al (2023), we relate the spillovers of fossil energy returns to the uncertainty of carbon emission and sentiment on climate changes because the carbon price volatility is essentially fluctuated by the emission activities of industries and the investor behaviors. Specifically, we employ the data of global carbon emissions from fossil energy and the climate sentiment proposed by Santi (2020).…”

Section: Further Analysesmentioning

confidence: 99%

The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns

Zhang,

Wang

et al. 2024

Journal of Futures Markets

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In this paper, we find new evidence for the carbon futures volatility prediction by using the spillovers of fossil energy futures returns as a powerful predictor. The in‐sample results show that the spillovers have a significantly positive effect on carbon futures volatility. From the out‐of‐sample analysis with various loss functions, we find that fossil energy return spillovers significantly outperform the benchmark and show better forecasting performance than the competing models using dimension reduction, variable selection, and combination approaches. The predictive ability of the spillovers also holds in long‐term forecasting and does not derive from other carbon‐related variables. It can bring substantial economic gains in the portfolio exercise within carbon futures. Finally, we provide economic explanations on the predictive ability of the fossil energy return spillover by the channels of the carbon emission uncertainty and the investor sentiment on the warming climate.

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Nonlinear effects of climate risks on climate-sensitive sectors

Zhu,

2024

Econ Change Restruct

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Investor climate sentiment and financial markets

Cited by 42 publications

References 80 publications

The impact of climate change news on the US stock market

The impact of climate change news on the US stock market

The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns

Nonlinear effects of climate risks on climate-sensitive sectors

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