Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks Energy Economics Full Length Article

Sohag, Kazi and Hammoudeh, Shawkat and Elsayed, Ahmed and Mariev, Oleg and Safonova, Yulia (2022) 'Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks Energy Economics Full Length Article.', Energy Economics, 111 . p. 106068.

Abstract

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
Download PDF
(1647Kb)
Full text:(VoR) Version of Record
Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0.
Download PDF
(6582Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1016/j.eneco.2022.106068
Publisher statement:© 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/bync-nd/4.0/).
Date accepted:24 April 2022
Date deposited:17 May 2022
Date of first online publication:23 May 2022
Date first made open access:17 May 2022

Save or Share this output

Export:
Export
Look up in GoogleScholar