Climate Change Laws and European Stock Markets: An Event Analysis
研究了欧盟气候立法对欧洲股票市场的影响，发现能源和环境社会治理（ESG）板块在立法公告日出现负的累计异常收益，且市场对公告的反应存在异质性。
ABSTRACT Under the context of the climate change we assess the impact of EU's legislative initiative on European stock markets. Specifically, we focus on its impact on energy and Environmental Social Governance (ESG) sectors for equity returns and volatility for a representative basket of EU countries (participating also in Eurozone) as well as countries outside Eurozone/EU. We derive a cross‐country event analysis for the European green deal (willingness to implement and legal adoption on EU level as long‐term strategy) and national climate laws. Moreover, we assess the efficient market hypothesis (EMH). Second, we expect the announcement effect of the law implementation to have an impact on industry sectoral stock markets' volatility. The EMH is initially exhibited and announcement‐dependent; stock market is pricing announcements inefficiently. We find negative cumulative abnormal returns (CARs) both in the ESG, energy industry sector indexes. Abnormal return (AR) volatility is found per se at the announcement day. The magnitude and sign for abnormal returns as well as cumulative abnormal returns are announcement‐dependent. Heterogeneity is present since ESG (green index) appears to exhibit more statistically significant cumulative abnormal returns than the energy index.