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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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    References listed on IDEAS

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    1. Radoslav S. Dimitrov, 2016. "The Paris Agreement on Climate Change: Behind Closed Doors," Global Environmental Politics, MIT Press, vol. 16(3), pages 1-11, August.
    2. J. Timmons Roberts & Romain Weikmans & Stacy-ann Robinson & David Ciplet & Mizan Khan & Danielle Falzon, 2021. "Rebooting a failed promise of climate finance," Nature Climate Change, Nature, vol. 11(3), pages 180-182, March.
    3. Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004. "How Much Should We Trust Differences-In-Differences Estimates?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(1), pages 249-275.
    4. David H. Autor, 2003. "Outsourcing at Will: The Contribution of Unjust Dismissal Doctrine to the Growth of Employment Outsourcing," Journal of Labor Economics, University of Chicago Press, vol. 21(1), pages 1-42, January.
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    Keywords

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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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