Public Climate Attention and European Electricity Markets Systemic Risk: Evidence From Google Trends Data

Xingyu DAI; Chi Keung LAU; Qunwei WANG; Michal WOJEWODZKI

doi:10.1111/eufm.70026

Public Climate Attention and European Electricity Markets Systemic Risk: Evidence From Google Trends Data

Xingyu DAI
, Chi Keung LAU^*
, Qunwei WANG
, Michal WOJEWODZKI

^*Corresponding author for this work

Department of Finance

Research output: Journal Publications › Journal Article (refereed) › peer-review

Abstract

This study constructs public climate attention (PCA) indices from 1134 Google Trends keywords and investigates their impact on the European electricity markets (EUEMs) systemic risk. The results show that the climate conference and climate risk opportunity attention indices affect the overall EUEMs' returns comovement. The composite PCA index leads to quantile spillovers among EUEMs' returns. These findings remain robust even after filtering out various types of exogenous information and across different market-level classifications. The study also finds that different PCA indices help predict EUEMs' returns volatility and hedge the electricity prices risk with hedging tools.

Original language	English
Journal	European Financial Management
Early online date	16 Nov 2025
DOIs	https://doi.org/10.1111/eufm.70026
Publication status	E-pub ahead of print - 16 Nov 2025

Bibliographical note

Publisher Copyright:
© 2025 John Wiley & Sons Ltd.

Funding

This study was supported by the National Natural Science Foundation of China (Grant Numbers 72503096 and 52270183) and the Jiangsu Funding Program for Excellent Postdoctoral Talent (Grant Number 2025ZB893).

Keywords

comovement analysis
electricity market
Google Trends data
mixed-data sampling
public climate attention
spillover network

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1111/eufm.70026

Cite this

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title = "Public Climate Attention and European Electricity Markets Systemic Risk: Evidence From Google Trends Data",

abstract = "This study constructs public climate attention (PCA) indices from 1134 Google Trends keywords and investigates their impact on the European electricity markets (EUEMs) systemic risk. The results show that the climate conference and climate risk opportunity attention indices affect the overall EUEMs' returns comovement. The composite PCA index leads to quantile spillovers among EUEMs' returns. These findings remain robust even after filtering out various types of exogenous information and across different market-level classifications. The study also finds that different PCA indices help predict EUEMs' returns volatility and hedge the electricity prices risk with hedging tools.",

keywords = "comovement analysis, electricity market, Google Trends data, mixed-data sampling, public climate attention, spillover network",

author = "Xingyu DAI and LAU, \{Chi Keung\} and Qunwei WANG and Michal WOJEWODZKI",

note = "Publisher Copyright: {\textcopyright} 2025 John Wiley \& Sons Ltd.",

year = "2025",

month = nov,

day = "16",

doi = "10.1111/eufm.70026",

language = "English",

journal = "European Financial Management",

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AU - DAI, Xingyu

AU - LAU, Chi Keung

AU - WANG, Qunwei

AU - WOJEWODZKI, Michal

PY - 2025/11/16

Y1 - 2025/11/16

N2 - This study constructs public climate attention (PCA) indices from 1134 Google Trends keywords and investigates their impact on the European electricity markets (EUEMs) systemic risk. The results show that the climate conference and climate risk opportunity attention indices affect the overall EUEMs' returns comovement. The composite PCA index leads to quantile spillovers among EUEMs' returns. These findings remain robust even after filtering out various types of exogenous information and across different market-level classifications. The study also finds that different PCA indices help predict EUEMs' returns volatility and hedge the electricity prices risk with hedging tools.

AB - This study constructs public climate attention (PCA) indices from 1134 Google Trends keywords and investigates their impact on the European electricity markets (EUEMs) systemic risk. The results show that the climate conference and climate risk opportunity attention indices affect the overall EUEMs' returns comovement. The composite PCA index leads to quantile spillovers among EUEMs' returns. These findings remain robust even after filtering out various types of exogenous information and across different market-level classifications. The study also finds that different PCA indices help predict EUEMs' returns volatility and hedge the electricity prices risk with hedging tools.

KW - comovement analysis

KW - electricity market

KW - Google Trends data

KW - mixed-data sampling

KW - public climate attention

KW - spillover network

UR - https://www.scopus.com/pages/publications/105021984968

U2 - 10.1111/eufm.70026

DO - 10.1111/eufm.70026

M3 - Journal Article (refereed)

SN - 1354-7798

JO - European Financial Management

JF - European Financial Management

ER -

Public Climate Attention and European Electricity Markets Systemic Risk: Evidence From Google Trends Data

Abstract

Bibliographical note

Funding

Keywords

UN SDGs

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