| Abstract [eng] |
Sustainable finance increasingly treats green assets as instruments for climate-risk hedging; however, it remains unclear whether they protect investors during energy-market shocks and financial-market stress or merely transmit different transition, equity-market, and growth risks. This study asks whether green assets hedge better than brown assets, or whether the two asset classes hedge different risks across market states. Using daily data from 2010 to 2025 on exchange-traded clean-energy, fossil-fuel, green-bond, ESG, and market-risk instruments, we construct green and brown portfolios and analyze the green–brown return spread across normal conditions, high-volatility regimes, market-stress days, positive and negative oil-price shocks, the COVID-19 crisis, and the recent energycrisis period. The empirical design combines performance and downside-risk metrics, rolling correlations and betas, Newey–West regressions, stress-state comparisons, quantile regressions, portfolio allocation tests, and supplementary machine-learning classification. The results reveal strong oil-shock asymmetry: brown assets outperform during positive oil-price shocks, while green assets perform relatively better when oil prices fall sharply. However, green assets do not function as broad safe havens during financial-market stress, reflecting persistent equity-market downside exposure and growth-factor repricing. Quantile regressions confirm nonlinear and state-dependent risk transmission, while portfolio tests show weak full-sample return-risk performance for clean-energy equity exposure alone. Shorter-sample suggests that green bonds and ESG assets display more defensive characteristics, whereas machine-learning models show limited short-horizon predictive power. Green assets are therefore not universal hedges but conditional transition-risk assets whose value depends on the shock source, market regime, and sustainable instrument. |
