Where Is the World Heading? Quantile Time-Frequency Connectedness Among Oil, Conventional and ESG Stock Returns

This study examines the interactive link between global oil, conventional and the Environmental, Social, and Governance (ESG) stock returns, focusing on their complex structure, nonlinearity, and the duration of uncertainty. We use Quantile-on-Quantile (QoQ) and Frequency-domain Quantile Vector Autoregression (FD-QVAR) methods to apprehend the differences in market states and investment horizon conditions. Based on the (QoQ) approach, we provide solid evidence of the decreasing dependence of crude oil returns on conventional and clean energy stock returns at lower quantile. Our results show that ESG stock markets display greater resilience during severe market downturns. Additionally, the (FD-QVAR) estimation results demonstrate that conventional assets are the primary source of short-term (high frequency) and long-term (low frequency) return shocks. The ESG investments can support international diversification amid persistent oil market declines. The findings provide valuable insights for ESG investors, policymakers, and regulators on risk assessment, hedging strategies, and the intrinsic resilience of sustainable finance.

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Publication Details

Journal
Journal of risk and financial management
Published
2026-02-18
DOI
https://doi.org/10.3390/jrfm19020151
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
0.00
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article

Where Is the World Heading? Quantile Time-Frequency Connectedness Among Oil, Conventional and ESG Stock Returns

Wael Hemrit, Naziha Kasraoui
Journal of risk and financial management
Market Dynamics and Volatility
article

Where Is the World Heading? Quantile Time-Frequency Connectedness Among Oil, Conventional and ESG Stock Returns

Wael Hemrit, Naziha Kasraoui
article en

Abstract

This study examines the interactive link between global oil, conventional and the Environmental, Social, and Governance (ESG) stock returns, focusing on their complex structure, nonlinearity, and the duration of uncertainty. We use Quantile-on-Quantile (QoQ) and Frequency-domain Quantile Vector Autoregression (FD-QVAR) methods to apprehend the differences in market states and investment horizon conditions. Based on the (QoQ) approach, we provide solid evidence of the decreasing dependence of crude oil returns on conventional and clean energy stock returns at lower quantile. Our results show that ESG stock markets display greater resilience during severe market downturns. Additionally, the (FD-QVAR) estimation results demonstrate that conventional assets are the primary source of short-term (high frequency) and long-term (low frequency) return shocks. The ESG investments can support international diversification amid persistent oil market declines. The findings provide valuable insights for ESG investors, policymakers, and regulators on risk assessment, hedging strategies, and the intrinsic resilience of sustainable finance.

Journal of risk and financial managementVol. 19(2)
Imam Mohammad ibn Saud Islamic University (SA), Tunisia Private University (TN), Tunis El Manar University (TN)
Industry, innovation and infrastructure
Openalex Percentile: Top 53%
Market Dynamics and Volatility
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