Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
https://bura.brunel.ac.uk/handle/2438/31387| Title: | Climate physical risk and Asian stock market returns |
| Authors: | Albanese, Marina Caporale, Guglielmo Maria Colella, Ida Spagnolo, Nicola |
| Keywords: | climate change;physical risk;Global Climate Risk Index;stock markets;Asia;panel data;fixed effects |
| Issue Date: | 7-May-2026 |
| Publisher: | Edward Elgar Publishing |
| Citation: | Albanese, M. et al. (2026) 'Climate physical risk and Asian stock market returns', in G.M. Caporale (ed) Handbook of Climate Change and Financial Markets. Cheltenham: Edward Elgar, pp. 58–73. doi: 10.4337/9781035340422.00007. |
| 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. |
| Description: | JEL classification: C33, G12, G18. |
| URI: | https://bura.brunel.ac.uk/handle/2438/31387 |
| DOI: | https://doi.org/10.4337/9781035340422.00011 |
| ISBN: | 9781035340415 9781035340422 |
| Other Identifiers: | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCiD: Nicola Spagnolo https://orcid.org/0000-0002-1663-2104 |
| Appears in Collections: | Department of Economics, Finance and Accounting Embargoed Research Papers * |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Embargoed until 7 May 2027. This is a draft chapter. The final version is available in Handbook of Climate Change and Financial Markets edited by Guglielmo Maria Caporale, published in 2026, Edward Elgar Publishing Ltd. https://doi.org/10.4337/9781035340422.00011. It is deposited under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License (https://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way. | 409.7 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License
