Climate Risk Disclosures and Cross-Industrial Risk Spillovers in Stock Market: Evidence from the Us and China

Abstract

This study utilized text mining technology to obtain climate risk disclosure data of listed companies in China and the United States from 2016 to 2022. We examined the impact of industry-level climate risk disclosure levels on industry node centrality within stock market volatility and extreme risk networks, using panel regression. The empirical results indicate that increased transparency in climate risk reporting significantly boosts node centrality in these networks, suggesting an enhanced role in systemic risk mitigation. Furthermore, the study found that strong climate disclosure can enhance network stability by reducing the likelihood of industry wide stock crashes.

Keywords: Climate risk disclosures, Risk spillover networks, Industry node centrality, Stock price cash risk, Text mining