Climate physical risk and Asian stock market returns
Abstract
This chapter 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 countries, which are also divided into 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.
Fields of Study & Subjects
Market Dynamics and Volatility
Publication details
- Journal / source
- Edward Elgar Publishing eBooks
- Publisher
- Edward Elgar Publishing
- Pages
- 58–73
- Publication date
- 7 May 2026
- Language
- EN
- Document type
- Book chapter