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.