Geopolitical Risk, Energy Transition Assets, and Clean Technology Equities: A Quantile Connectedness Analysis of Transition Risk Spillovers

The global energy transition has created a new financial ecosystem linking clean energy equities, transition metals, electric mobility firms, carbon allowances, and fossil energy assets. This study examines how shocks propagate within this ecosystem and whether geopolitical risk drives its tail co-movement by combining the Asymmetric Slope CAViaR model with Quantile VAR connectedness on daily data from March 2018 to May 2026. Under the standard Quantile VAR estimator, total connectedness rises from 46.6% at the median to 81.7% in the lower tail; however, a location-adjusted decomposition shows that most of this rise is mechanical, and model-free co-exceedance tests identify significant lower tail excess co-exceedances relative to Gaussian benchmarks, concentrated in the links between clean energy assets and the carbon and oil markets, although direct lower–upper tail differences are not statistically significant. The clean energy group generally acts as a net transmitter, whereas EU carbon allowances and Brent crude generally act as net receivers across the principal specifications; individual clean energy assets are not uniformly net transmitters in every specification. Contrary to our initial hypothesis, the daily geopolitical risk index is essentially disconnected from transition asset returns at every quantile. Connectedness jumped at the onset of COVID-19, while later geopolitical episodes left little imprint. These findings refine the diversification and hedging calculus for transition-themed portfolios.