IMPACT OF ENVIRONMENTAL ANNOUNCEMENTS ON THE FINANCIAL MARKETS OF EUROPEAN CRUDE OIL EXPORTERS AND IMPORTERS
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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 policiesto limit greenhouse gas emissions. Several studies have found that announcements ofenvironmental regulations and policies affect financial markets worldwide. Our thesisexamines whether the main stock market indices of exporters of crude oil are affecteddifferently than importers by environmental announcements. We consider the RussianMOEX, the Norwegian OSEBX and the British FTSE 100 as proxies for exporters, while theGerman DAX, Spanish IBEX 35 and Italian FTSE MIB represent importers. We employ the eventstudy methodology to investigate whether indices display significant cumulative abnormalreturns around environmental announcements. In addition, we estimate the same periodvolatility using a GJR-GARCH model, where we introduce dummy variables for the eventperiod. We find significant negative cumulative abnormal returns for the Russian MOEXaround the announcement of the Glasgow climate pact. We also find significant increases involatility for both importers and exporters around two events. Overall, our findings do notindicate that the financial markets of exporters of crude oil behave differently from importersaround environmental announcements.