Global Uncertainty and Green Transition: Dynamics Analysis of Stock Market Volatility
グローバルな不確実性とグリーン移行：株式市場ボラティリティの動学分析 (AI 翻訳)
Suriani Suriani, Sartiyah Sartiyah, Abd. Jamal, Asri Diana, Sartika Sartika, Yulia Yulia
🤖 gxceed AI 要約
日本語
本研究は、インドネシアのイスラム、グリーン、従来型株式市場のリターンとボラティリティを、経済政策の不確実性、貿易ショック、金融環境、エネルギー移行要因との関係で分析。ARDLフレームワークとGARCH(1,1)モデルを用いた結果、グリーン株式は長期的に政策安定性に強く依存し、全ての市場でボラティリティ・クラスタリングが観察され、グリーン株式のボラティリティ持続性が最も高いことが示された。
English
This study analyzes return and volatility dynamics of Indonesia's Islamic, green, and conventional stock markets in relation to policy uncertainty, trade shocks, monetary conditions, and energy transition factors. Using ARDL and GARCH models, it finds that green stocks are highly sensitive to policy stability in the long run, and all markets exhibit volatility clustering with green stocks showing the highest persistence.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
インドネシアのデータに基づくが、日本のグリーンファイナンス市場や政策安定性の重要性を示唆する知見は参考になる。日本でもグリーン投資の促進には一貫した政策が必要。
In the global GX context
This paper contributes to the global understanding of green finance in emerging markets by quantifying how policy uncertainty and energy transition factors affect green stock volatility. It highlights the need for stable policies to support sustainable investment, a key theme in global climate finance discussions.
👥 読者別の含意
🔬研究者:Provides empirical evidence on volatility dynamics of green stocks in an emerging market context, useful for comparative studies.
🏢実務担当者:Highlights the importance of policy stability for green finance resilience, informing investment strategy and risk management.
🏛政策担当者:Emphasizes that consistent energy and economic policies are crucial for fostering green finance and market stability.
📄 Abstract（原文）
This study examines the return and volatility dynamics of Indonesia’s Islamic (Jakarta Islamic Index), green/sustainable (SRI Kehati), and conventional (Composite Stock Price Index) stock markets in relation to economic policy uncertainty, trade shocks, monetary conditions, and energy transition factors. Monthly data are analyzed using an integrated ARDL framework to assess both short- and long-term relationships, and a GARCH(1,1) model to evaluate volatility. The results indicate clear market segmentation. Over the long term, green stock returns are highly sensitive to policy uncertainty, trade disruptions, macroeconomic conditions, and inflation, reflecting a strong reliance on policy stability. Islamic stock returns are mainly influenced by interest rates and energy transition factors, whereas conventional stock returns are primarily affected by monetary conditions and are more resilient. In the short term, policy uncertainty causes immediate declines in Islamic stock returns, green stocks respond to trade and liquidity shocks with multiple lags, and conventional stocks maintain stable momentum. All markets exhibit volatility clustering, with green stocks showing the highest volatility persistence, followed by Islamic stocks, while conventional stocks revert to the mean more quickly. These findings underscore the need for consistent energy and economic policies to support green finance and strengthen financial market stability in emerging economies.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.32479/ijeep.22746first seen 2026-05-14 21:41:59
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