Investigating the Connectedness Between Green Stock Returns and Policy Uncertainties: The Case Study of the United States of America

Document Type : Research Article

Authors

1 Master in Economics, Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran.

2 Professor, Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran (Corresponding Author).

3 Assistant Professor, Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran.

4 PhD in Economics, Department of Economics, Faculty of Economics and Administrative Sciences, Ferdowsi University of Mashhad, Mashhad, Iran.

10.22084/aes.2025.30804.3780

Abstract

Transition to renewable energies is one of the most heated topics among policymakers and authors. Green financing is considered one of the primary tools for achieving this goal. The data show that the stock market, as one of the main ways of green financing and a primary indicator of the performance of companies in the renewable energy sector, has been significantly affected by policy uncertainties. Thus, this study aims to investigate the connectedness between policy uncertainties and the return of green stocks by employing the contemporaneous and lagged R^2 decomposed connectedness approach. This novel approach fills the gap in the previous studies by decomposing connectedness measures into contemporaneous and lagged components. Previous studies primarily focused on the impact of economic policy uncertainty on green stock returns. Thus, to contribute to the existing literature, this study employs uncertainty indicators in monetary, fiscal, and trade policies, representing key aspects of economic policy uncertainty. In addition, we use the newly introduced climate policy uncertainty index. The outcome of this study indicates that the uncertainty in fiscal policy is the main transmitter of shocks to the return of green stock, followed by monetary policy uncertainty. Moreover, fiscal policy uncertainty can affect green stock returns indirectly by transmitting shocks to other variables in the network. Furthermore, the return of the green stock is the primary receiver of shocks in the network. The results of this research help in providing efficient policies to support green finance in countries like Iran that have access to renewable resources.

Keywords

Main Subjects

References

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Journal of Applied Economics Studies in Iran
Volume 14, Issue 56
February 2026
Pages 85-128

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