European-transition climate risk pricing in international clean energy markets: Evidence from quantile dependence and directional predictability.

The accelerating push for decarbonization, spearheaded by the European Union's ambitious climate agenda, has introduced significant financial uncertainties across global clean energy markets. While climate policy is expected to catalyze green investment, transition-related risks often produce asymmetric pricing dynamics across sectors and return distributions. This study investigates how European transition risks are transmitted and priced within international clean energy subsectors by employing two advanced quantile-based econometric techniques-Cross-Quantilogram (CQ) and Wavelet Cross-Quantile Correlation (WCQC). Using high-frequency data from NASDAQ OMX Green Economy subsector indices spanning October 15, 2010 to December 29, 2025, the analysis reveals persistent, nonlinear, and time-varying relationships between transition risk and sectoral returns. Notably, clean energy subsectors such as solar, wind, geothermal, and fuel cells exhibit consistent and significant negative dependence in lower and median quantiles, indicating heightened vulnerability to downside shocks. In contrast, subsectors like energy storage and developer/operator show mild but positive sensitivity in upper quantiles, reflecting a selective reward mechanism for firms perceived as resilient and adaptive. These results suggest that transition risk is not uniformly priced and that sectoral responses are shaped by both policy uncertainty and firm-level dynamics. The findings highlight the complexity of climate-financial interconnectedness and emphasize the need for sector-specific, coherent policy frameworks to ensure that climate ambition translates into stable and equitable market outcomes.