Timár Barnabás

The impact of climate events on public perception and capital markets. An empirical study on Google trends and ETF data

How do climate events affect public awareness and the stock market? In order to answer this question, I examine the impact of the events in two stages. First, I look at the Google trends index of ten concepts related to climate change to see if there is a significantly above-average search value in the days surrounding the event. Then I examine the significance of the abnormal returns of five green and five polluting industry ETFs using the standard event study methodology. On the Google trends data, a significantly above-average search value can be detected for a large number of events. However, based on the ETFs results, climate events do not necessarily have a trend-like effect on the stock market. Each event can have a unique effect, and even similar events can cause reactions in different directions. The most significant events were the IPCC report, the COP 24 conference, the official withdrawal of the USA from the Paris Agreement and the climate strike in Glasgow. It is hard to identify any industry trend, but ETFs with equity positions with favourable ESG characteristics (RESP), and surprisingly, tobacco, alcohol, gambling (VICE) and the aviation industry (JETS) have a significant positive abnormal return on average. However, the robustness of these effects can also be questioned. Thus, the impact of climate events on the stock markets is very limited, which might be explained by the efficiency of the examined market.

LXX. évf., 2023. July (713 - 745. O.), DOI:10.18414/KSZ.2023.7-8.713, Study

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