Asymmetric impacts of energy market-related uncertainty on clean energy stock volatility: The role of extreme shocks

Yanchen Liu, Siyu Yi, Sitong Li and Gengxuan Chen

International Review of Financial Analysis, 2025, vol. 103, issue C

Abstract: Amid escalating uncertainties in the global energy transition and markets, clean energy stock volatility has become a critical concern for investors and policy-makers. This study applies two extended GARCH-MIDAS frameworks to analyse the effects of energy market-related uncertainty indicators—the global energy-related uncertainty index (GEUI), the oil price uncertainty index (OPU), and the crude oil volatility index (OVX)—on clean energy stock volatility. The results show that the GEUI exerts the most substantial influence, with the OPU and OVX having comparatively smaller effects. Further analysis reveals that positive extreme uncertainty shocks exert a stronger influence on stock market volatility than negative shocks, highlighting the heightened sensitivity of markets during periods of increasing uncertainty. Additionally, a leverage effect is observed, where past negative volatility has a greater influence on current volatility than positive events do. These findings offer empirical guidance for risk management and valuable insights for policy-makers addressing frequent uncertainty shocks in the clean energy sector.

Keywords: Clean energy stocks; Volatility forecasting; Energy-related uncertainty; Extreme shocks (search for similar items in EconPapers)
JEL-codes: C22 C53 Q43 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002935

DOI: 10.1016/j.irfa.2025.104206

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