Geoclimate, geopolitics, and the geovolatility of carbon-intensive equity returns

Susana Campos-Martins and David Hendry

Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: The systemic implications on carbon-intensive equity prices of the disruptive technological progress from decarbonising the global energy system are com pounded by the geopolitical nature of both the global oil market and transition risk. We show empirically that climate change news affects oil and gas stock return volatilities at the global scale. But not all geoclimatic shocks are alike. Climate change news increases global uncertainty around carbon-intensive equities and it amplifies the effects of oil volatility shocks when the news is bad. Moreover, the impact of climate change news on the global oil and gas carbon intensive equity market differs across topics and themes.

Keywords: Volatility factor models; Financial volatility shocks; Geoclimatic volatility shocks; Transition risk; Carbon-intensive equities. (search for similar items in EconPapers)
Date: 2021-09-28
New Economics Papers: this item is included in nep-ene, nep-env and nep-ore
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