Navigating the green transition: the influence of energy volatility on green and sustainable ETFs

Abstract

This study explores the interaction between extreme energy commodity price fluctuations and green and sustainable Exchange Traded Funds (ETFs) returns. Empirical findings indicate that the re- turns of green ETFs exhibit variation in the sign and magnitude of their response to different energy commodities. Specifically, we observe significant influences from crude oil and natural gas price movements, whereas carbon emissions products show no evidence of a substantial interaction.