Global uncertainty and climate-aligned ETFs: Evidence from wavelet-quantile-based analysis
Borsa Istanbul Review, cilt.26, sa.4, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 26 Sayı: 4
- Basım Tarihi: 2026
- Doi Numarası: 10.1016/j.bir.2026.100821
- Dergi Adı: Borsa Istanbul Review
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
- Anahtar Kelimeler: Climate-aligned ETFs, Global uncertainty, Wavelet-quantile-based analysis
- İstanbul Üniversitesi Adresli: Evet
Özet
This study examines how global uncertainty influences climate-aligned exchange-traded funds (ETFs) across different investment horizons and market regimes. Using monthly data for climate-aligned ETFs from September 2011 to June 2025, we analyze four uncertainty indicators—equity (VIX), oil (OVX), gold (GVZ), and climate policy uncertainty (CPU)—within a framework combining wavelet-quantile correlation, quantile-on-quantile regression, and multivariate quantile regression. The results reveal pronounced scale dependence and asymmetry. Short-term ETF returns are primarily driven by volatility in financial and oil markets, whereas long-term dynamics are dominated by structural uncertainty in gold and climate policy markets. The effects are nonlinear and concentrated in lower return quantiles, indicating heightened downside risk during turbulent periods. Clear sectoral heterogeneity also emerges: clean energy and sustainability ETFs appear more exposed to market stress, whereas water and resource-based funds exhibit relatively defensive behavior yet remain sensitive to persistent policy uncertainty.