We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies, we incorporate the GPR index to encompass the risk linked to conflict, acts of terrorism, and political tensions. In brief, our findings show that GPR emerges as a significant factor influencing market behavior, with distinct patterns observed across different time scales and trading horizons. Our results are beneficial for investors and portfolio managers to adopt more rational investment strategies and for policymakers to make appropriate policy arrangements.

中文翻译：

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地缘政治风险对可持续市场的影响：分位数时频分析

我们通过采用新提出的小波分位数相关性、交叉分位数图和分位数因果关系来研究地缘政治风险 (GPR) 对绿色、清洁和社会责任市场的影响。与早期的研究不同，我们纳入了 GPR 指数来涵盖与冲突、恐怖主义行为和政治紧张局势相关的风险。简而言之，我们的研究结果表明，GPR 已成为影响市场行为的重要因素，在不同的时间尺度和交易范围内观察到不同的模式。我们的研究结果有利于投资者和投资组合经理采取更加理性的投资策略，有利于政策制定者做出适当的政策安排。