Finance Salon [4] [Can Climate Risk Affect Dirty-Clean Energy Stock Dynamic Correlations?]

Release date:2023/01/20
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In order to further help the faculty and students of Faculty of Finance, City University of Macau, to explore research issues and share research experiences, the fourth Finance Salon was held. The keynote speaker is Dr. Di Li, Assistant Professor of Faculty of Finance.


Dr. Di Li shared research on whether climate risk affects the dynamics of the clean-dirty energy stock market. According to Dr. Li, previous research focused on and analyzed the relationship between clean and polluting energy stocks, aiming to provide empirical guidance for financial practitioners based on hedging policies. However, the dynamic relationship between these two types of energy stocks and climate risk has been less analyzed. Dr. Li's research directly estimates the dynamic conditional correlation coefficients and applies them to an autoregressive distributed lag model. To improve its estimation, the model controls for the business cycle, interest rates, financial tightening and market sentiment. The results show that climate risk has symmetrical and asymmetric effects on the dynamic coefficient of pollution-clean source stocks. Finally, a lot of tests are done to ensure the robustness of the results.


The Finance Salon was conducted online and offline simultaneously, and the participants expressed their opinions. Dean Adrian Cheung, Associate Dean Eva Khong, Professor Yonghong Zhou, Associate Professor Yinggui Wang, Assistant Professor Lifei Xue and Assistant Professor Lamont Yu put forward targeted suggestions for Dr. Li's further research. Assistant Professor Derick Lin as the discussant of the paper, commented on the structure of the paper, the description of the empirical results and the research expansion. The scene atmosphere was warm.


The Finance Salon of the Faculty of Finance, City University of Macau, is a useful attempt to investigate the needs of teachers and students, and help them actively explore their academic direction and gather insights. The Finance Salon not only provides targeted guidance for graduate students, but also deepens understanding and communication between teachers and students, laying a good foundation for further expanding resources and sharing information. The Faculty of Finance will also continue to explore the needs of teachers and students, and relevant work will be carried out in an orderly manner. The Finance Salon will continue to be held, and will further invite scholars inside and outside the university to share more widely in future activities, so as to build this salon into a branded activity of the Faculty of Finance.