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This paper explores the forecasting power of some of the most informative indicators of economic uncertainty on carbon emission price volatility. We use one- and two-component GARCH-MIDAS models based on mixed frequency data and Model Confidence Set (MCS) testing with 'rolling scheme' forecast method to examine the forecasting performance of economic uncertainty indicators. We employ an economic policy uncertainty (EPU) indicator with China, US and global economic policy uncertainty constituents together with traditional uncertainty indicators, such as macroeconomic and financial market volatility. Our empirical findings show that generally economic policy uncertainty indicators contain more information of carbon emission price volatility than other indicators. Specifically, one-component GARCH-MIDAS model with the EPU indicator with China constituent and two-component model with EPU indicator have superior performance in forecasting carbon emission price volatility of the Guangdong pilot in China. Our study adds insights into factors that affect carbon emission price movements. [ABSTRACT FROM AUTHOR]

By studying equity market returns to China, the UK, and the US, we explore the key question of whether the COVID-19 pandemic changes the risk exposure of equity markets, which is fundamental to market stability and investor confidence. Using data from the World Health Organization and Bloomberg, our full sample covers the period 3 July 2019 to 15 December 2020 which facilities a subsample (Normal, Shock, Endurance) analysis. Utilizing Value-at-Risk (VaR) metrics as our risk exposure measure, we find that 1) There exists a sharp increase in equity market risk exposure across the three equity markets. 2) A stronger pandemic impact is found in different market capitalization segments – China, large-cap; the UK, small-cap; the US, mid-cap. 3) Generally, investors consider the number of new cases as a more worrying factor than deaths while UK investors are sensitive to both. Our observations suggest that given limited resources but rising demands from both businesses and households for government assistance, a one-size-fits-all policy to support market recovery would be sub-optimal. [ABSTRACT FROM AUTHOR]