Politická ekonomie 2026, 74(4) Special issue:751-781 | DOI: 10.18267/j.polek.1516

Do Climate Risks Affect Stock Markets? Quantile Connectedness Analysis for Major European Economies

Deniz Sevinç ORCID..., Veysel Karagöl ORCID...
Deniz Sevinç (corresponding author), Department of Business Administration, Faculty of Economics and Administrative Sciences, Anadolu University, Eskişehir, Turkey
Veysel Karagöl, Department of Economics, Faculty of Economics and Administrative Sciences, Bingöl University, Bingöl, Turkey

This study examines the interconnectedness between climate-related risks and five major stock markets in Europe, which aims to become the first continent with a net-zero emission balance, using daily data from 16 April 2013 to 29 December 2023. We employ two methodologies: quantile connectedness to investigate the impact of climate risks on stock market volatility in different market circumstances and quantile time-frequency connectedness to examine the short-term and long-term spillover effects. Our results indicate that transition and physical risks have asymmetric effects on market indices, which are particularly pronounced during crisis periods. The study emphasizes that European markets are heterogeneous with respect to climate risks and that these differences create systemic risk diversification. Therefore, strategies to address climate risks need to be tailored to country specificities.

Keywords: Climate change, climate risks, financial markets, quantile connectedness analysis
JEL classification: C58, G15, G32, Q54

Received: November 10, 2024; Revised: March 12, 2025; Accepted: June 2, 2025; Prepublished online: December 16, 2025; Published: September 1, 2026  Show citation

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Sevinç, D., & Karagöl, V. (2026). Do Climate Risks Affect Stock Markets? Quantile Connectedness Analysis for Major European Economies. Politická ekonomie, 74(Special Issue), 751-781. doi: 10.18267/j.polek.1516
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