Climate Events and Market Efficiency: An Event Study Analysis

Meerab Asim

No 5xdz2_v1, SocArXiv from Center for Open Science

Abstract: We examine market reactions to climate events using event study methodology on a final sample of 250 high-severity events (2000–2025) across US, EU, and Asian markets, which were filtered from a raw dataset of over 1.5 million events. Broad US indices (SPY, QQQ) show no significant event- day AR, while the US energy sector (XLE) exhibits a negative reaction (−6 bps, p < 0.001). EU proxies (EZU, VGK) show small positive reactions (+3 to +6 bps), and Asian markets display heterogeneous responses. While statistically significant, transaction costs exceed gross effects, supporting market efficiency while revealing sector-specific sensitivities to climate information. Results challenge uniform climate risk pricing and suggest regional differences and sector composition drive responses. All inferential results use the analyzed sample of 250 non-overlapping events; diagnostic figures may summarize a larger candidate set used for alignment.

Date: 2025-10-17
New Economics Papers: this item is included in nep-ene and nep-env
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:5xdz2_v1

DOI: 10.31219/osf.io/5xdz2_v1

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