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Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks
Journal article   Open access   Peer reviewed

Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks

Kazi Sohag, Shawkat Hammoudeh, Ahmed H. Elsayed, Oleg Mariev and Yulia Safonova
Energy economics, v 111, 106068
Jul 2022
DOI: https://doi.org/10.1016/j.eneco.2022.106068
Featured in Collection :   UN Sustainable Development Goals @ Drexel
url
https://doi.org/10.1016/j.eneco.2022.106068View
Published, Version of Record (VoR)CC BY-NC-ND V4.0,  Open

Abstract

Cross-quantilogram Geopolitical risks Green bonds Green equity ESI Highly Cited Paper (Incites)
The growth of clean energies and technologies requires a sound financial market, while equity and bond markets are exposed to geopolitical risks. We investigate the response of green equity and green bonds to newly develop decomposed measures of geopolitical risks, including geopolitical acts, threats, and narrow and broad measures. To this end, we apply two robust methods; namely, the cross-quantilogram and quantile and quantile (QQ) approaches, to estimate the conditional and unconditional volatility spillovers considering short, medium, and long term. Surprisingly our empirical investigation demonstrates that all measures of geopolitical risk (except geopolitical acts) transmit positive shocks to the green investments (both equity and bonds) from bearish to bullish market states. At the bullish state, green markets respond negatively to the highest quantiles of all measures of geopolitical risks under a long memory. However, the geopolitical acts negatively shock the green bonds and green equity at some extreme quantiles. Our empirical findings are beneficial by transmitting opportunities and preventing risks for investment decision-making in the green markets, considering geopolitical risks. •We assess the response of green securities to different geopolitical risks measures.•Cross-quantilogram and quantile and quantile (QQ) approaches are applied.•Geopolitical risk measures transmit positive shocks to the green investments.

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156 citations in Web of Science
153 citations in Scopus

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Domestic collaboration
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Web of Science research areas
Economics
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