Authors: Sveltana Vlady
This study investigates the climate change impact on Australian stock equity returns. This study empirically examines the effect of climate change on the Australian oil and gas industry and compares to the indexes S&P ASX 200 and All Ordinaries, which are considered as the total indicators for the Australian equity market.
This study concludes that investors are rational. However, the climate change information is value relevant for the refining company, which is affected by Australian climate conditions. AR–GARCH model has been applied to investigate the market’s response to climate change. All weather–related variables have been statistically adjusted to the climate change variables.
Key Words: Climate Change, Capital Market, Oil and Gas Industry, S&P ASX 200 Index, All Ordinaries Index, AR-GARCH
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