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.
Authors
- Wael Hemrit (ORCID: https://orcid.org/0000-0002-1328-807X)
- Naziha Kasraoui
Institutions
- Imam Mohammad ibn Saud Islamic University (SA)
- Tunisia Private University (TN)
- Tunis El Manar University (TN)
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