Given the importance of, and enormous interest in, climate change, this study empirically examines and analyses the relationship between climate change and shareholder value in the oil and gas industry in an Australian context. The oil and gas industry, whose main purpose is the production of hydrocarbons, is highly important and relevant to the Australian economy. Since oil and gas companies are responsible for a substantial proportion of environmental impacts, investors' perceptions about the financial relevance of climate change has become critically important to real-world climate change outcomes. The VAR, ARCH, GARCH and MS-VAR models have been applied to obtain the more robust and informative results. The study concludes that some of Australia's weather-related information is value relevant. Surprisingly, the temperature does not appear to be significant. However, a weather risk hedge could enable the weather-sensitive sector to achieve weather-dependent results stabilisation.