Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340595 
Year of Publication: 
2025
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 25 [Issue:] 4 [Year:] 2025 [Pages:] 661-680
Publisher: 
Elsevier, Amsterdam
Abstract: 
Global warming pressures legislators to alter climate policies to steer the world economy on a path with a net zero carbon footprint. This study examines the returns and volatility connectedness and the spillover of climate exchange-traded funds with climate policy uncertainty in the time-frequency domains. This research explores the influence of investors' attention to climate change and uncertainty factors. The results reveal that climate policy uncertainty and exchange-traded funds share high returns and volatility connectedness across time, in which short-term connectivity dominates long-term connectivity. The results across the different frequencies indicate that climate attention, global carbon emission futures, oil market uncertainty, global economic policy, geopolitical risk, and global financial stress play an important role in the connectedness between climate policy uncertainty and climate exchange-traded funds. The empirical findings can help green investors choose the best exchange-traded funds depending on their investment horizon.
Subjects: 
Climate change
Climate exchanged-traded funds
Climate finance
Climate policy uncertainty
Investor attention
Spillovers
Time-frequency connectedness
JEL: 
C32
C51
C52
D21
D40
D80
Q54
Q56
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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