This paper examines the impact of three global risk factors (geopolitical risk (GPR), economic policy uncertainty (EPU), and crude oil volatility (OVX)) on the returns and variance of commodity, Islamic stock, and green bond markets across quantile distributions and various time horizons. To this end, Granger causality tests in quantiles and distributions along with wavelet-based correlation and causality approaches are applied to daily data from February 1, 2013 to June 30, 2023. The results of the Granger causality in quantiles tests show strong evidence that all three global risk factors Granger-cause returns across all quantiles, except the lowest and middle quantiles. The Granger causality is significant for both returns and variances, where GPR is the least predictor and OVX is the most predictor. Evidence of causation in risk spillovers is in the right tail and center of the distribution rather than the left tail, indicating no evidence of down-to-down risk spillover. The upside risk of OVX causes both the upside and downside risk of asset returns. The positive volatility of EPU and GPR drives the positive and negative volatility of the green bond and Islamic stock markets, respectively. Green bond markets are completely immune to risk spillover from geopolitical risks. The effects of risk factors are negligible at the lower and somewhat middle quantiles but strengthen with varying magnitude and significance for the remaining quantiles. The results of the wavelet analysis indicate that asset returns co-move with the global risk factors in the short term but decouple in the longer term. Risk factors exert short-lived causal impacts in the short term, but the duration of significant causal periods rises with time and the effect intensifies during crisis periods.

本文研究了三个全球风险因素（地缘政治风险 (GPR)、经济政策不确定性(EPU) 和原油波动性 (OVX)）对商品、伊斯兰股票和绿色债券市场跨分位数分布的回报和方差的影响以及不同的时间范围。为此，对2013 年 2 月 1 日至 2023 年 6 月 30 日的每日数据应用分位数和分布的格兰杰因果关系检验以及基于小波的相关性和因果关系方法。分位数检验的格兰杰因果关系结果表明有力的证据表明，所有三个全球风险因素 除最低和中间分位数外，所有分位数的格兰杰原因回报。格兰杰因果关系对于回报和方差都很重要，其中 GPR 是最弱的预测变量，OVX 是最强的预测变量。风险溢出因果关系的证据位于分布的右尾和中心，而不是左尾，表明没有证据表明存在自下而上的风险溢出。OVX的上行风险导致资产收益的上行风险和下行风险。EPU 和 GPR 的正波动分别驱动绿色债券和伊斯兰股票市场的正波动和负波动。绿色债券市场完全不受地缘政治风险溢出的影响。风险因素的影响在下分位数和中间分位数上可以忽略不计，但在其余分位数上则以不同程度和显着性增强。小波分析结果表明，短期内资产收益率与全球风险因素联动，但长期来看则脱钩。风险因素在短期内会产生短暂的因果影响，但重大因果期的持续时间会随着时间的推移而延长，并且在危机期间影响会加剧。