| dc.description.abstract | Climate change poses a severe threat to the world as we know it. Over the last decades,
governments and intergovernmental organisations have introduced regulations and policies
to limit greenhouse gas emissions. Several studies have found that announcements of
environmental regulations and policies affect financial markets worldwide. Our thesis
examines whether the main stock market indices of exporters of crude oil are affected
differently than importers by environmental announcements. We consider the Russian
MOEX, the Norwegian OSEBX and the British FTSE 100 as proxies for exporters, while the
German DAX, Spanish IBEX 35 and Italian FTSE MIB represent importers. We employ the event
study methodology to investigate whether indices display significant cumulative abnormal
returns around environmental announcements. In addition, we estimate the same period
volatility using a GJR-GARCH model, where we introduce dummy variables for the event
period. We find significant negative cumulative abnormal returns for the Russian MOEX
around the announcement of the Glasgow climate pact. We also find significant increases in
volatility for both importers and exporters around two events. Overall, our findings do not
indicate that the financial markets of exporters of crude oil behave differently from importers
around environmental announcements. | |
