The spillover effects and mechanisms of typhoon disasters on stock volatility: considering the heterogeneity of financial enterprises and non-financial enterprises

Extreme meteorological events, such as typhoons, constitute severe external shocks that significantly impact macroeconomic operations and fundamental corporate activities. Grounded in stakeholder theory, this study employs a two way fixed effects difference in differences model alongside the VaR-BEKK-MVGARCH-DUMMY-T framework. Utilizing comprehensive data from the Chinese A share market spanning 2008 to 2024, this study investigates the spillover effects and underlying mechanisms of typhoon disasters on corporate stock volatility. The empirical results demonstrate that typhoon disasters significantly exacerbate the stock volatility of affected enterprises. Furthermore, this study confirms the presence of a unidirectional volatility spillover effect flowing directly from the non-financial sector to the financial sector during these extreme weather events. Subsequent mechanism analysis reveals that typhoons amplify stock price volatility risks across distinct industries through dual pathways. Specifically, these natural disasters diminish the supply chain resilience of non-financial enterprises, while simultaneously destabilizing investor confidence within the financial system by exacerbating widespread uncertainty. This study provides robust micro level evidence for the cross market systemic risk contagion triggered by extreme climate events. It substantially deepens the theoretical understanding of heterogeneous industry risk transmission mechanisms within the growing field of climate finance.