Mapping the asymmetric dynamics between ESG uncertainty and clean energy: A quantile–wavelet framework

Aydoğdu A., DOĞAN M.

Journal of Environmental Management, vol.398, 2026 (SCI-Expanded, Scopus) identifier identifier

  • Publication Type: Article / Review
  • Volume: 398
  • Publication Date: 2026
  • Doi Number: 10.1016/j.jenvman.2025.128434
  • Journal Name: Journal of Environmental Management
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, BIOSIS, Compendex, EMBASE, Environment Index, Geobase, Greenfile, Index Islamicus, Public Affairs Index, Social Sciences Abstracts
  • Keywords: Clean energy indices, ESG-Based sustainability uncertainty, Quantile on quantile granger causality, Quantile on quantile regression, Wavelet quantile regression
  • Bilecik Şeyh Edebali University Affiliated: Yes

Abstract

The primary objective of this study is to investigate the impact of the ESG-based Sustainability Uncertainty Index (ESGUI) on clean energy markets. We examine how this impact changes across different quantiles and time scales, thereby revealing the impacts of sustainability uncertainties on clean energy markets. Using a monthly dataset covering the period from July 31, 2015 to June 30, 2025, five indices are employed to represent clean energy markets: S&P Global Clean Energy Transition Index (GCEI), S&P Kensho Clean Energy Index (KCEI), Renewable Energy Industrial Index (RENIXX), MSCI Global Alternative Energy Index (MSCIGA), and MSCI ACWI IMI Clean Energy Infrastructure Index (MSCIACWI IMI). Quantile on Quantile Regression (QQR), Wavelet Quantile Regression (WQR), and Quantile on Quantile Granger Causality (QQGC) methods are employed in the study. The empirical findings indicate that ESG-based sustainability uncertainties exhibit heterogeneous, nonlinear, and asymmetric effects on clean energy markets, depending on both the quantile and the time scale. QQR and WQR analyses reveal that uncertainties have particularly strong negative effects during market declines, evolving into a more persistent and suppressive structure in the medium and long term. The QQGC results highlight the persistent predictive power of ESG uncertainties, guiding investor behavior during both downturns and upturns. The results offer important insights that investors should consider when shaping their risk management strategies and policymakers when developing regulatory frameworks to accelerate the energy transition.