Can Green Economy stocks hedge natural gas market risk? Evidence during Russia-Ukraine conflict and other crisis periods

One of the ultimate goals of the Green Economy is to move away from dependence on fossil energy, thereby achieving a sustainable development of a resource-saving and environment -friendly society. Thus, whether Green Economy stocks can hedge the risks of fossil energy mar-kets, especially for natural gas market during recent crisis periods, is of great importance for both policy makers and portfolio managers. This paper identifies the time-varying connectedness and hedging effects of twelve NASDAQ OMX Green Economy sector stocks on NYMEX natural gas futures during three major turmoil events, i.e., European debt crisis, COVID-19 pandemic, and recent Russia-Ukraine conflict. The empirical results show that various Green Economy sector stocks can provide gratifying hedge effectiveness on the market risk of natural gas futures, and some of them can even perform similarly to gold and USD. Moreover, NASDAQ OMX Green Economy sector stocks offer better hedge effectiveness during recent Russia-Ukraine conflict than those of them in the periods of European debt crisis and COVID-19 pandemic. Finally, the Sharpe ratio results further show the important but time-varying roles of Green Economy sector stocks in hedging risks of natural gas market.