We propose a novel approach to measure the global effects of climate change news on financial markets. For that purpose, we first study the global common volatility of the oil and gas industry, and then project it on climate-related shocks. We show that rising concerns about the energy transition make oil and gas share prices move at the global scale, controlling for shocks to the oil price, US and world stock markets. Despite the clear exposure of oil and gas companies to carbon transition risk, not all geoclimatic shocks are alike. The sign and magnitude of the impact differs across topics and themes of climate-related concerns. Regarding sentiment, climate change news tends to create turmoil only when the news is negative. Furthermore, the adverse effect is amplified by oil price movements but weakened by stock market shocks. Finally, our findings point out climate news materialises when it reaches the global scale, supporting the relevance of modelling geoclimatic volatility.
