Low-carbon movement and stock market uncertainty: Insights from international comparisons between fossil fuel companies

Abstract

We study the effect of investor attention to a low-carbon movement—the fossil fuel divestment movement—on stock volatility of fossil fuel companies from both developing and developed countries. Investor attention to this justice movement is measured by the weekly intensity of the Google search for the topic “fossil fuel divestment”. We employ a sample of 8 regional equity indices that exclusively comprise fossil fuel-related stocks over the 2012–2021 period. We find that investor attention to the fossil fuel divestment movement is positively and significantly related to the realized and conditional volatility of fossil fuel companies from both developing and developed countries. These findings contribute to improve our collective understanding of the implications of climate protection movement on energy sector in both developed and developing countries.