Spillover effects of climate risks on stock markets: A sectoral analysis
Ali Kemal Celik, Omer Yalcinkaya, Yakup Soylemez, Hakan Cavlak
article (Uluslararası, Hakemli) | Yazar(lar): Ali Kemal Celik, Omer Yalcinkaya, Yakup Soylemez, Hakan Cavlak | Yıl: 2026 | Dergi/Kurum: FINANCE RESEARCH LETTERS | İndeks: WOS.SSCI | DOI: 10.1016/j.frl.2026.109633 | Anahtar Kelimeler: Spillover, QVAR, Climate risk, Physical risk, Transition risk, Stock markets — Özet: T
This study highlights the heterogeneity of climate risk across sectors by analyzing the spillover effects of global climate risks-distinguished as physical and transition risks-on sectoral stock markets in the US using quantile vector autoregression (QVAR) and spillover indices. The quantitative analysis, based on evidence from the S&P 500 and its subsector indices, identifies strong contagion effects observed in both the lower and upper quantiles, revealing that climate risks have acquired systemic characteristics. The findings indicate that climate risks have become a key determinant of financial stability not only during crisis periods but also under all market conditions, and that the sensitivity across sectors varies considerably.