Abstract
This study used the internet search index on the topic ‘global warming’ as a proxy for the level of public attention to global warming and empirically tested the shock of global warming attention to international commodity markets. The findings indicate that the returns, volatility, and uncertainty of the commodity markets exhibited high sensitivity to global warming attention. Moreover, the findings show that first, global warming attention positively shocked the returns, volatility, and uncertainty of the agricultural market. Second, global warming attention negatively shocked the returns of the fossil energy market but positively shocked the volatility and uncertainty of the fossil energy market. Third, it caused no significant shock to the livestock market. Fourth, it positively shocked the returns of the metal market but did not significantly shock the volatility and uncertainty of the metal market. Therefore, it is imperative for financial regulators and investors to be more aware of climate change attention and its heterogeneous shocks to different commodity markets to prevent and mitigate its adverse consequences.