Climate Policy Uncertainty, Energy Price Shocks, and Sustainable Stock-Market Volatility: Evidence from Thailand
Year: 2026
Type: article
Abstract: This study investigates the roles of climate policy uncertainty, oil price shocks, and global macro-financial factors in shaping stock-market volatility in Thailand, an emerging economy undergoing an energy transition and increasing financial integration. Using monthly data from January 2000 to September 2025, we estimate a GARCH(1,1) model with exogenous regressors to capture conditional heteroscedasticity and employ support vector regression (SVR) to assess nonlinear out-of-sample predictability. The results indicate that oil-price changes, exchange-rate movements, and global-equity returns exert significant contemporaneous effects on Thai stock returns. In contrast, climate- and policy-related uncertainty measures appear to play a more indirect role within broader volatility dynamics rather than serving as primary return drivers. Volatility persistence is high but mean-reverting, suggesting sustained yet stabilizing adjustment processes in a semi-integrated emerging market. Out-of-sample evidence shows that SVR outperforms both GARCH and random-walk benchmarks, indicating the presence of partial predictability under structured uncertainty. These findings contribute to the understanding of financial stability under transition-related risks and highlight the importance of consistent policy communication in emerging markets.
Source: Evergreen
DOI: 10.5109/7430653
Authors: Tran Trong Huynh, Bui Thanh Khoa
Institutions: FPT University, Industrial University of Ho Chi Minh City
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
SDG: Climate action
Open Access status: diamond
OpenAlex ID: W7162957077
FWCI:
Cites:
Cited by:
Related to: