This study investigates how energy and stock markets affect the dynamics of green stock price returns considering recent periods of crises and increased uncertainty. Particularly, following the 21st Conference of the Parties (COP21)-Paris agreement and global financial crisis, it is important to assess the causal relationship between energy market, stock market, and green stock returns. Accordingly, this study employed different quantile-causality approaches to conduct a detailed analysis of the asymmetric causal relationship associated with different market regimes (normal, bad, and good). Overall, our parametric Granger-causality findings show that clean energy markets react to crude oil and stock markets depending on the market regime. Additionally, the cross-correlogram test revealed that there are negative and significant cross relations when the stock market is in bullish condition and clean energy indices in bearish conditions. These findings have important implications for portfolio diversification and hedging decisions of environmentally concerned investors. This also supports policymakers in articulating policies that seek to avoid the contagion risk to ensure financial stability.

本研究调查了考虑到近期危机和不确定性增加的情况，能源和股票市场如何影响绿色股票价格回报的动态。特别是在缔约方第 21 次会议（COP21）-巴黎协议和全球金融危机之后，评估能源市场、股票市场和绿色股票收益之间的因果关系非常重要。因此，本研究采用不同的分位数因果关系方法对与不同市场制度（正常、坏和好）相关的非对称因果关系进行详细分析。总体而言，我们的参数格兰杰因果关系研究结果表明，清洁能源市场对原油和股票市场的反应取决于市场机制。此外，交叉相关图检验表明，当股市处于看涨状态时，清洁能源指数处于看跌状态时，存在负显着的交叉关系。这些发现对关注环境的投资者的投资组合多样化和对冲决策具有重要意义。这也支持政策制定者阐明旨在避免传染风险以确保金融稳定的政策。