Title

The effects of the Paris climate agreement on stock markets: evidence from the German stock market

RIS ID

139589

Publication Details

Pham, H., Nguyen, V., Ramiah, V., Saleem, K. & Moosa, N. 2019, 'The effects of the Paris climate agreement on stock markets: evidence from the German stock market', Applied Economics, vol. 51, no. 57, pp. 6068-6075.

Abstract

We investigate the effects of the 2016 Paris Climate Agreement on the German stock market by considering the impact of 20 announcements pertaining to the Agreement on 17 industries. The event study methodology is used for this purpose, together with several robustness tests, such as the nonparametric rank test and non-parametric conditional distribution approach. The change in systematic risk following the announcements is captured by using various risk models. In general, we find that the Paris Climate Agreement is achieving its objectives in the short run. Our results show that the announcements affected polluting industries in terms of risk and return. Furthermore, we observe two distinct diamond risk structures when (1) Conference of the Parties (COP) 21 took place, and (2) the Agreement came into force.

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Link to publisher version (DOI)

http://dx.doi.org/10.1080/00036846.2019.1645284