Exploring tail reliance and interconnectedness: GCC stock markets, sustainable investments, and renewable energy cryptos through Q‐VAR analysis

Abstract This inspection examines the extreme tail reliance between the GCC stock market indices, sustainable investments, and renewable energy cryptos employing the Q‐VAR approach. For this reason, this inspection incorporated global uncertainties, which include the volatility index (VIX) and CBOE crude oil volatility (OVX), to determine their significant impacts on the magnitude and strength of the trend relationship between multiple asset classes. In contrast, to better understand the robustness of hedging potential of selected eco‐resilient investments in times of instability, this analysis employs two sustainable investment measures: the Dow Jones Sustainability Index (DJSI) and the S&P Green Bond Index (SPGBI).