Greenhouse gas emissions and stock market volatility: an empirical analysis of OECD countries

Abstract

Purpose: This study aims to explore empirical evidence of the impact of greenhouse gas (GHG) emissions on stock market volatility. Design/methodology/approach: Using panel data of 35 Organization for Economic Co-operation and Development countries from 1992 to 2018, we conduct both fixed effects panel model and Prais-Winsten model with panel-corrected standard errors. Findings: The authors document that there is a significant positive relationship between GHG emissions and stock market volatility. The results remain robust after controlling for potential endogeneity problems. Originality/value: This study contributes to the literature in that it provides additional empirical evidence for the financial risk posed by climate change.