This study aims to investigate the impact of the energy transition on asset pricing by analyzing the different sources of systemic risk in a comprehensive system of one traditional energy ETF, one clean energy ETF, seven oil-exporting country ETFs, and six oil-importing country ETFs. We find that shocks to the traditional (clean) energy market are the primary source of short-term (long-term) systemic risk, suggesting that oil-dependent countries have started to incorporate the long-term risks associated with clean energy into the pricing of related assets. Meanwhile, we document both homogeneity within and heterogeneity between oil exporters and oil importers in the transmission patterns of systemic risk. These findings can help provide customized trading strategies for investors with diverse profiles. Additionally, we compare the regime-dependent hedging strategy with both the regime-dependent diversification strategy and the dynamic hedging strategy, demonstrating that it is the most effective for investors aiming to minimize portfolio volatility. Collectively, our results provide valuable insights that can assist policymakers, portfolio managers, and investors in adapting to the evolving dynamics of the energy transition.

中文翻译：

---

探索能源和股票市场的系统性风险来源和交易策略


本研究旨在通过分析由一个传统能源 ETF、一个清洁能源 ETF、七个石油出口国 ETF 和六个石油进口国 ETF 组成的综合系统中的不同系统性风险来源，来调查能源转型对资产定价的影响。我们发现，对传统（清洁）能源市场的冲击是短期（长期）系统性风险的主要来源，这表明依赖石油的国家已经开始将与清洁能源相关的长期风险纳入相关资产的定价。同时，我们记录了石油出口国和石油进口国之间在系统性风险传播模式中的同质性和异质性。这些发现有助于为具有不同特征的投资者提供定制的交易策略。此外，我们将依赖政权的对冲策略与依赖政权的多元化策略和动态对冲策略进行了比较，表明它对于旨在最大限度地减少投资组合波动性的投资者来说是最有效的。总的来说，我们的结果提供了有价值的见解，可以帮助政策制定者、投资组合经理和投资者适应不断变化的能源转型动态。