The Impacts of Inflation, Oil Price Appreciation, Energy Risk, and Climate Policy Uncertainty on Stock Returns: Evidence From G7 Countries

This paper enlarges news variable coverage by adding the inflation, energy-induced equity market volatility (EMV), climate policy uncertainty, and infectious disease EMV to the investigation of stock returns and oil price relation. Evidence of G7 stock returns shows positively correlated with conditional variance and negatively related with inflation, except in Japan. Further evidence reveals that stock returns are positively correlated with the oil price appreciation but negatively related to EMV calibrated to energy policy change, climate policy uncertainty, and infectious disease risk. This study enriches an understanding of the impact of public policy and CPU on stock markets.