Climate risk performance and returns integration of Chinese listed energy companies

Traditional energy and new energy stock returns are becoming more closely related under the energy transition constraint. In this paper, the core correlation between traditional energy stock returns and new energy stock returns in China is portrayed using the minimum spanning tree (MST) approach and the integration characteristics of energy companies are dynamically analyzed. On this basis, we identify the impact of climate factors on the integration of energy markets by constructing a GARCH-MIDAS model with three dimensions: climate concern, climate physical risk, and climate policy. We find that returns are more likely to be transmitted within traditional energy industries and new energy industries, and firms with the same characteristics tend to form clusters. In a dynamic context, the degree of energy system integration has significant time-varying characteristics and is susceptible to unforeseen events, market policies, and supply-demand relationships. In addition, there is heterogeneity in the effect of climate concern on the integration between traditional energy and new energy markets, and the effects of both climate physical risk and climate policy on the integration of the energy system are significantly negative.