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All Journal Journal of Economics Business Industry
Ayşe Nur Çelik
Yeditepe University
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Geopolitical Risk and Renewable Energy Equity Markets through Energy Commodity Price Connectedness Kerem Öztürk; Emirhan Yıldız; Sena Aydın; Ayşe Nur Çelik; Elif Şahin; Mert Demir
Journal of Economics Business Industry Vol. 3 No. 2 (2025): November
Publisher : Lembaga Penelitian dan Ilmu Pengetahuan JEPIP

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59976/jebin.v3i2.315

Abstract

This study examines whether geopolitical risk (GPR) transmits to renewable energy equity markets through an energy commodity price mediation channel, 717 daily observations from February 24, 2022 to December 31, 2024. Employing the Quantile Time-Varying Parameter Vector Autoregression (QTVP-VAR) connectedness framework, this study incorporates European natural gas prices (TTF), Brent crude oil, and three renewable energy indices — ECO, ERIX, and SPCE — to examine tail-dependent risk transmission across bearish (τ = 0.05), median (τ = 0.50), and bullish (τ = 0.95) market states. Results reveal that total connectedness escalates from 17.1% at the median to 52.3% at the upper tail, confirming pronounced asymmetric risk transmission absent in conventional mean-based frameworks. TTF emerges as the dominant mediating channel, while direct GPR-to-equity transmission remains secondary. SPCE exhibits the highest tail sensitivity among renewable indices. Findings offer critical implications for portfolio risk management, regulatory capital requirements, and European energy policy design.
Co-Authors Elif Şahin Emirhan Yıldız Kerem Öztürk Mert Demir Sena Aydın