IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v19y2026i2p151-d1867257.html

Where Is the World Heading? Quantile Time-Frequency Connectedness Among Oil, Conventional and ESG Stock Returns

Author

Listed:
  • Naziha Kasraoui

    (Faculty of Economic Sciences and Management of Tunis, University of Tunis El Manar, Tunis P.O. Box 248, Tunisia)

  • Wael Hemrit

    (College of Business, Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh P.O. Box 5701, Saudi Arabia
    GEF2A Lab, University of Tunis, Tunis P.O. Box 2000, Tunisia)

Abstract

This study examines the interactive link between global oil, conventional and the Environmental, Social, and Governance (ESG) stock returns, focusing on their complex structure, nonlinearity, and the duration of uncertainty. We use Quantile-on-Quantile (QoQ) and Frequency-domain Quantile Vector Autoregression (FD-QVAR) methods to apprehend the differences in market states and investment horizon conditions. Based on the (QoQ) approach, we provide solid evidence of the decreasing dependence of crude oil returns on conventional and clean energy stock returns at lower quantile. Our results show that ESG stock markets display greater resilience during severe market downturns. Additionally, the (FD-QVAR) estimation results demonstrate that conventional assets are the primary source of short-term (high frequency) and long-term (low frequency) return shocks. The ESG investments can support international diversification amid persistent oil market declines. The findings provide valuable insights for ESG investors, policymakers, and regulators on risk assessment, hedging strategies, and the intrinsic resilience of sustainable finance.

Suggested Citation

  • Naziha Kasraoui & Wael Hemrit, 2026. "Where Is the World Heading? Quantile Time-Frequency Connectedness Among Oil, Conventional and ESG Stock Returns," JRFM, MDPI, vol. 19(2), pages 1-20, February.
    • Handle: RePEc:gam:jjrfmx:v:19:y:2026:i:2:p:151-:d:1867257
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/19/2/151/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/19/2/151/
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:19:y:2026:i:2:p:151-:d:1867257. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.