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The COP Effect: Repricing and re-coupling in ESG ETFs

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  • Gil, Thiago Dalmédico
  • Mendes-Da-Silva, Wesley

Abstract

We test whether UN climate conferences (COPs) act as recurrent policy shocks that move ESG thematic ETFs. Using a stacked difference-in-differences design around COP dates and mutual information to gauge market coupling, we study 70 ESG ETFs across two regimes: 2016–2020 (A) and 2021–2024 (B). Phase-A estimates fail standard parallel trend checks, but Phase-B yields credible effects: Solar energy sector underperforms post-COP, while Sustainable Infrastructure and Low-Carbon themes drift up; technology-adjacent themes display volatility compression and higher post-COP coupling with the S&P500, indicating reduced diversification. Results imply COPs reorient expectations and synchronize returns in transition sectors.

Suggested Citation

  • Gil, Thiago Dalmédico & Mendes-Da-Silva, Wesley, 2026. "The COP Effect: Repricing and re-coupling in ESG ETFs," Economics Letters, Elsevier, vol. 259(C).
    • Handle: RePEc:eee:ecolet:v:259:y:2026:i:c:s0165176525006172
    DOI: 10.1016/j.econlet.2025.112780
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    JEL classification:

    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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