Dissecting the tail: assessing global drivers of French sustainable markets
尾部の解剖：フランスの持続可能な市場のグローバルな推進要因の評価 (AI 翻訳)
Amal Essayem
🤖 gxceed AI 要約
日本語
本研究は、フランスのグリーン金融資産に対するグローバルリスク（金融市場変動、地政学的不確実性、石油価格変動、気候リスク）の影響を分位点回帰で分析。グリーンボンドは持続可能な株式リターンに正の貢献をするが、分散効果は限定的。気候リスク（物理的・移行リスク）は全市場条件下で持続可能な株式パフォーマンスを抑制することを発見。
English
This study uses quantile regression to analyze the dynamic and asymmetric effects of global risks (financial volatility, geopolitical uncertainty, oil prices, climate risks) on French green financial assets. Green bonds positively contribute to sustainable stock returns but limit diversification. Both physical and transition climate risks consistently depress sustainable stock performance across all market conditions, highlighting systemic climate vulnerability.
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
フランスは持続可能な金融のグローバルリーダーであり、本分析は気候リスクがグリーン資産に与える影響を定量的に示す。日本のGX投資家や金融機関にとって、気候リスクのポートフォリオへの組み込みや、グリーンボンドの役割を理解する上で参考になる。
In the global GX context
France is a global leader in sustainable finance, and this study provides empirical evidence on how climate risks affect green assets. For global GX practitioners, it underscores the systemic nature of climate vulnerability and the limited diversification benefits of green bonds, informing risk management and investment strategies.
👥 読者別の含意
🔬研究者:Provides novel empirical evidence on asymmetric risk impacts on green assets using quantile regression, relevant for climate finance research.
🏢実務担当者:Highlights the need to account for climate risks in sustainable investment portfolios and the role of green bonds.
🏛政策担当者:Offers insights for enhancing market resilience and promoting low-carbon transition, particularly relevant for financial regulators.
📄 Abstract（原文）
Purpose This study explores the dynamic and asymmetric effects of global major risks (specifically financial market volatility, geopolitical uncertainty, oil price fluctuations, and climate-related risks) on the performance of green financial assets in France. It aims to assess how these risk factors influence sustainable stock indices under varying market conditions, offering insights into the integration of sustainability within financial systems. Design/methodology/approach The study employs a quantile regression approach to capture the heterogeneous impacts of macro risks across the conditional distribution of sustainable stock returns. This method allows for the examination of tail behaviors and state-dependent sensitivities of green assets, using France's sustainable stock index as the focal point. Findings *Green bonds positively contribute to sustainable stock returns, although they limit diversification benefits. *Volatility indicators (VIX and OVX) exert nonlinear effects, with stronger influences observed during bullish markets. *Geopolitical risk does not show a statistically significant impact. *Both physical and transition climate risks consistently depress sustainable stock performance across all market conditions, underscoring the systemic nature of climate vulnerability. Originality/value This study offers a novel, country-specific analysis of how macro risks influence green financial assets, with a particular focus on France; a global leader in sustainable finance. By using a quantile regression framework, it provides fresh empirical evidence of asymmetric risk impacts and highlights the critical role of climate risks in shaping sustainable investment outcomes. The findings have practical implications for policymakers and financial institutions aiming to enhance market resilience and promote France's transition to a low-carbon economy.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.1108/jcms-05-2025-0055first seen 2026-05-05 19:07:25
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