Are the impacts of uncertainties on clean and conventional energy markets symmetrical? A fresh comparison analysis based on direction, quantile, and time-domain

In light of the fact that energy transition and uncertainty from extreme events have increased the volatility of energy markets, this paper integrates climate policy uncertainty (CPU), geopolitical risk (GPR), and economic policy uncertainty (EPU) into energy markets to study their disparate impacts on clean and conventional energy markets. Our findings are three-fold. First, there are short-run and long-run asymmetric relationships between uncertainties and energy markets. Specifically, while an increasing CPU has a positive long-term impact on clean energy stocks, it exhibits a more pronounced negative effect on both clean and conventional energy stocks in the short term. Notably, over the short and long term, GPR continues to suppress the prices of conventional energy stocks. Moreover, positive change in EPU has a significant short-run positive effect on conventional ones, while its decrease significantly boosts both two energy stocks in the long term. Second, whether it is clean or conventional energy, the impacts of uncertainties vary in different quantiles, with asymmetries more pronounced in extreme market conditions. Third, shocks stemming from uncertainty are stronger in the short run and exhibit alternating positive and negative time variations. Overall, climate risks have the greatest impact on clean energy market, while geopolitical risks predominantly affect the conventional ones, especially in the short term and high quantiles. The results suggest significant implications for both policymakers and investors.