Exploring Asymmetric Effects of Uncertainties on the Time-Varying Nexus of Green Sukuk - Economic Policy Uncertainty and Geopolitical Risks

Oct 18, 2026

Uploaded by Jacob

This research investigates the asymmetric connectedness and spillover effects of Economic Policy Uncertainty and Geopolitical Risks on Green Sukuk, traditional energy assets (oil, coal, natural gas), renewable energy stocks (clean energy, water, wind, and First Solar) and carbon trading under bearish, normal, and bullish market regimes. Using cross-quantilogram and quantile vector autoregression time-series methods, the study identifies contemporaneous linkages and state-dependent asymmetries between market uncertainties and green, green/dirty energy returns. Results reveal robust dependencies and net transmitter/receiver roles.

LanguageEnglish

CategoryResearch & Report

FormatPDF

Pages29

Reading Time1 h 13 min

AccessFree to download

Abstract

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Methodology

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Exploring asymmetric effects of uncertainties on the time-varying nexus of green sukuk, clean and dirty energy markets under various market conditions Nadia Belkhir Department of Insurance and Risk Management, Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia, and Mouna Boujelbène and Taicir Mezghani Faculty of Economics and Management ofSfax, University ofSfax, Sfax, Tunisia Journal of Islamic Accounting and Business Research Received 5 September 2024 Revised 12 November 2024 15 March 2025 Accepted 20 July 2025 Abstract Purpose – This study aims to investigate the asymmetric connectedness and spillover effects of Economic Policy Uncertainty and Geopolitical Risks on Green Sukuk, traditional energy (represented by oil, coal and natural gas), renewable energy stocks (represented by clean energy, water, wind and First Solar) and carbon trading waters under bearish, normal and bullish market conditions. Design/methodology/approach – To conduct this analysis, the authors innovative time-series methods, specifically the cross-quantilogram and quantile vector autoregression approaches. These methods allow us to explore contemporaneous linkages and asymmetries among Green Sukuk, green/dirty energy and various financial market uncertainties. Findings – The cross-quantilogram approach reveals robust dependencies between Green Sukuk and market uncertainties. Rolling cross-quantilogram plots reveal significant positive spillovers from uncertainty indices to clean energy stocks (i.e. clean energy, water, wind and First Solar) across all market states in 2020, a year characterized by high market volatility. Moreover, uncertainty factors negatively impacted traditional energy commodities such as Brent crude oil and natural gas, while GPRs had a significantly positive effect on Brent crude. During bearish and bullish market positions, the uncertainty indices function as net transmitters (receivers) of spillovers in the green stock markets. Additionally, the uncertainty indices and Green Sukuk also function as net recipients. All energy stock indices exhibit strong linkages to Green Sukuk at the extreme upper and lower quantiles. Originality/value – This study contributes to this field by improving our understanding of the effect of uncertainties on the time-varying nexus of green sukuk, clean and dirty energy markets under various market conditions. The findings provide essential perspectives for green project managers, investors and policymakers, underscoring the significance of green sukuk in advancing environmental objectives. Keywords Green sukuk, Cross-quantilogram correlation, Renewable and dirty energy markets, Economic policy uncertainty (EPU), Geopolitical risk (GPR) Paper type Research paper JEL classification – E4, G11, Q1, Q4 Funding: This work was supported and funded by the Deanship of Scientific Research at Imam Mohammad Ibn Saud Islamic University (IMSIU) (grant number IMSIU-DDRSP2503) . Journal of Islamic Accounting and Business Research © Emerald Publishing Limited 1759-0817 DOI 10. 1108/JIABR-09-2024-0336 Downloaded from [http://www.emerald.com/jiabr/article-pdf/doi/10.1108/JIABR-09-2024-0336/10315216/jiabr-09-2024-0336en.pdf](http://www.emerald.com/jiabr/article-pdf/doi/10.1108/JIABR-09-2024-0336/10315216/jiabr-09-2024-0336en.pdf) by nadia belkhir on 30 September 2025 JIABR 1. Introduction Over the past few years, sustainable investments have surged in significance and magnitude, attracting attention from investors and policymakers (Global Sustainable Investment Alliance, 2021; Sciarelli et al., 2021) . Their growing importance has spurred the creation of numerous sustainable investment indicators to assist companies and investors in integrating these non-financial considerations into their investment strategies. Green Sukuk, a novel financial tool governments use to secure capital for sustainable development efforts, has garnered significant investor i

FAQs

What uncertainties are studied and on which assets do they act?

The study examines Economic Policy Uncertainty and Geopolitical Risks and evaluates their spillovers on Green Sukuk, traditional energy commodities, renewable energy stocks, and carbon trading under different market conditions.

Which methods are used to measure asymmetric connectedness and spillovers?

The analysis relies on cross-quantilogram and quantile vector autoregression approaches to capture contemporaneous linkages and state-dependent asymmetries among Green Sukuk, energy markets, and uncertainty indices.

How do results describe the direction of spillovers across market states?

Cross-quantilogram results show robust dependencies, with rolling plots indicating positive spillovers from uncertainty indices to clean energy stocks across all market states. Uncertainty factors negatively affect traditional energy commodities, while geopolitical risks show a significantly positive effect on Brent crude.

Oct 18, 2026

Uploaded by Jacob