Projects

Climate Change and Market Risks: Examining the Impact of Natural Disasters on Stock Volatility and Returns

Ing. Michala Moravcová, PhD.

Members of project
Mgr. Laura Eleková, Ing. Boris Fišera, Ph.D., Ing. Zuzana Košťálová, PhD.

• Basic informations
• Characteristics

• Duration of the project: 01/2026 - 12/2029
  ID number: VEGA 2/0139/26

   

• The primary objective of this project is to investigate the relationship between attention to climate change represented by natural disasters and the evolution of market risks, specifically measured through stock price volatility and extreme negative returns (captured by Value at Risk and Expected Shortfall). The empirical analysis will focus on individual companies traded in the U.S. and European stock markets. The goal is to estimate the extent to which individual firms are vulnerable to climate-related changes represented by natural disasters. Vulnerability of individual companies and sectors will be calculated on the interactions between shifts in attention to natural disasters and stock price fluctuations including its extreme price losses. We aim to identify and assess vulnerability across sectors, firms, and types of natural events.