Muhammad Abubakr Naeem, Mohammad Enamul Hoque, Mabruk Billah, Muneer Shaik
This study explores extreme dependence structure between climate risk and green markets, focusing on their diversification, hedging, and safe-haven potential. We employ a time varying optimal copula and a conditional diversification benefit between green markets and climate risk. The results exhibit a symmetric, asymmetric and tail dependence structure between climate risk and green markets. The dependence structure varies with a pair of green markets/climate risks and time periods include economic crises, climate agreement events, and climatic disasters. The green markets demonstrate the simultaneous presence of diversification, hedging, and safe-haven characteristics in response to climate change and physical risk. © 2025
College of Business and Economics, United Arab Emirates University, P.O. Box 15551, Al-Ain, United Arab Emirates; BRAC Business School, BRAC University, Bangladesh; Faculty of Economics and Business, Universitas Negeri Padang, Indonesia; Department of Accounting and Finance, College of Business Administration, Prince Mohammad Bin Fahd University, Al Khobar, Saudi Arabia; Mahindra University, School of Management, Telangana, Hyderabad, India
