Asymmetric Safe Haven Properties of Green Assets Under Geopolitical Stress: A Quantile-Based Analysis of Cryptocurrency, ETF, and Commodity Markets

This study investigates the defensive properties of green assets against geopolitical shocks and their implications for portfolio diversification across green and non-green cryptocurrency, exchange-traded fund (ETF) and commodity markets. Utilizing daily data from 2018 to 2025, we apply quantile-based time series methods with a graphical network approach to examine the asymmetric relationships between non-green and green assets across different market conditions. The findings reveal significant asymmetric responses across different quantiles, with Bitcoin demonstrating safe-haven properties during geopolitical stress particularly in upper quantiles. Green cryptocurrencies and clean energy ETFs offer favourable hedging properties during periods of heightened geopolitical tension with varying behavioural aspects across quantile regimes. Portfolio implications suggest that incorporating green assets improves risk-adjusted returns, especially for risk-tolerant investors. These results provide valuable insights for investors seeking diversification strategies and for policymakers formulating sustainable finance frameworks. The study focuses on tail-dependent asymmetric transmission mechanisms in portfolio optimization and management of risk during periods of geopolitical uncertainty.