The study employs novel empirical approaches, namely wavelet quantile correlation (WQC) and cross-quantilogram analysis, to examine the interrelationship between green bonds (GB), clean energy (GCE), socially responsible stocks (ESG), and variants of oil shocks during the period spanning from June 28th, 2013 to June 1st, 2023. Empirical findings from the WQC highlight consistent diversification benefits of GB against oil shocks across various market conditions at both short and long timescales, while the hedge property is evident only in long timescales. GCE reveals safe haven and hedge property in response to oil shocks at short and long timescales, while diversifier property exists only for long timescales. ESG stocks show safe haven property during the turbulence period. Moreover, the hedge property of these stocks against oil shocks is noted over the medium- to long-term horizon. Results from the cross-quantilogram analysis reinforce the diversifier properties of GB and GCE, along with the safe haven characteristics of ESG across various timescales and market conditions. These findings offer valuable suggestions to investors interested in investing in sustainable stocks in the context of a volatile oil market.

中文翻译：

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石油危机对绿色、清洁和社会责任市场的影响


该研究采用新颖的实证方法，即小波分位数相关性（WQC）和交叉分位数图分析，来研究绿色债券（GB）、清洁能源（GCE）、社会责任股票（ESG）和石油冲击变体之间的相互关系时间跨度为2013年6月28日至2023年6月1日。WQC的实证研究结果突显了GB在不同市场条件下在短期和长期范围内针对石油冲击的一致多元化效益，而对冲属性仅在长期范围内才明显。 GCE揭示了在短期和长期范围内应对石油冲击的避险资产和对冲资产，而多元化资产仅存在于长期范围内。 ESG 股票在动荡时期显示出避险属性。此外，这些股票针对石油冲击的对冲特性在中长期内也很引人注目。交叉量化图分析的结果强化了 GB 和 GCE 的多元化属性，以及 ESG 在不同时间尺度和市场条件下的避险特征。这些发现为有兴趣在动荡的石油市场背景下投资可持续股票的投资者提供了宝贵的建议。