Heterogeneous impacts of multiple climate policies on the Chinese stock market

We investigate the impacts of multiple climate policies on the stock market using an event study framework. Among the five events studied, the Paris Agreement shows the most substantial impact. Climate policies uniformly lead to significantly negative abnormal returns in carbon-intensive industries, with the coal industry (CAR -15.4%) and the petrochemicals industry (CAR -13.9 %) most severely affected, while the renewable energy industries notably benefit. Legislation leads to a 10-day CAR of 11.3 % and 13.1 % for Wind energy and PV, respectively. The influence of climate policies on abnormal returns and their volatility diminishes over time, indicating a rapid market adjustment to policy shocks. Despite the increased abnormal returns, the systematic risks of Wind power and PV also rise, potentially due to factors such as subsidy phase-out, heightened market competition, and the challenges posed by emerging technologies.