Exploring asymmetric effects of uncertainties on the time-varying nexus of green sukuk, clean and dirty energy markets under various market conditions

Purpose This study aims to investigate the asymmetric connectedness and spillover effects of Economic Policy Uncertainty and Geopolitical Risks on Green Sukuk, traditional energy (represented by oil, coal and natural gas), renewable energy stocks (represented by clean energy, water, wind and First Solar) and carbon trading waters under bearish, normal and bullish market conditions. Design/methodology/approach To conduct this analysis, the authors innovative time-series methods, specifically the cross-quantilogram and quantile vector autoregression approaches. These methods allow us to explore contemporaneous linkages and asymmetries among Green Sukuk, green/dirty energy and various financial market uncertainties. Findings The cross-quantilogram approach reveals robust dependencies between Green Sukuk and market uncertainties. Rolling cross-quantilogram plots reveal significant positive spillovers from uncertainty indices to clean energy stocks (i.e. clean energy, water, wind and First Solar) across all market states in 2020, a year characterized by high market volatility. Moreover, uncertainty factors negatively impacted traditional energy commodities such as Brent crude oil and natural gas, while GPRs had a significantly positive effect on Brent crude. During bearish and bullish market positions, the uncertainty indices function as net transmitters (receivers) of spillovers in the green stock markets. Additionally, the uncertainty indices and Green Sukuk also function as net recipients. All energy stock indices exhibit strong linkages to Green Sukuk at the extreme upper and lower quantiles. Originality/value This study contributes to this field by improving our understanding of the effect of uncertainties on the time-varying nexus of green sukuk, clean and dirty energy markets under various market conditions. The findings provide essential perspectives for green project managers, investors and policymakers, underscoring the significance of green sukuk in advancing environmental objectives.