Climate Policy Uncertainity and Indian Sectoral Indices
Description
This dataset contains daily and monthly data used to examine the impact of Climate Policy Uncertainty (CPU) on sectoral stock market volatility in India between January 2007 and June 2025. It includes daily returns from five NIFTY sectoral indices—Auto, IT, Energy, Bank, and FMCG—sourced from the National Stock Exchange of India. The explanatory variable is the CPU Index developed by Gavriilidis (2021), combined with four monthly macroeconomic control variables: the Geopolitical Risk (GPR) Index (Caldara & Iacoviello, 2022), gold prices (World Gold Council), Brent crude oil prices (U.S. Energy Information Administration), and the India VIX (NSE). The dataset is provided in Excel (.xlsx) format, with separate columns for sectoral returns, the CPU Index, and control variables.