The Asymmetric Effects of Extreme Climate Risk Perception on Coal Futures Return Dynamics: Evidence from Nonparametric Causality-In-Quantiles Tests

This paper uses nonparametric causality-in-quantiles tests to examine the asymmetric effects of climate risk perception (CRP) on thermal and coking coal futures high-frequency returns volatilities. The results show that CRP significantly impacts dynamic market, with volatility indicators exhibiting asymmetry at different percentiles being more pronounced in a downward market. influence mainly transmits through continuous components, while its impact primarily jump parts. Additionally, positive negative volatilities are asymmetrically affected by CRP. By incorporating factor, investors can better predict price fluctuations study provides an important supplement theory pricing risks, it is beneficial for formulating financial policies related management promoting sustainable development industry.