How do economic policy uncertainty, climate policy uncertainty and US monetary policy uncertainty shape investors’ sentiment in the green market?

Green markets have become essential platforms for directing financial resources towards sustainable and environmentally friendly projects, largely driven by growing awareness of climate change and environmental issues. Investor sentiment plays a crucial role in shaping the growth and stability of these markets, but limited understanding exists regarding how different types of policy uncertainty influence investor sentiment. Specifically, economic policy uncertainty (EPU), climate policy uncertainty (CPU), and monetary policy uncertainty (MPU) create varying effects on investor confidence, affecting green market dynamics. As a result, this study employs the Kernel-Regularized Quantile Regression (KRQR) with Marginal Effects, leveraging kernel procedures to evaluate quantile-specific partial effects, thereby providing heterogeneity insight across market conditions. Additionally, the study incorporates average marginal effects as a robustness check to validate the findings. Results reveal that EPU dampens investor sentiment in green markets across different market conditions but has minimal impact on bullish regimes. CPU triggers caution during bearish periods but shifts positively as confidence rises. MPU exerts limited influence during bearish periods but creates polarized reactions around the normal regime, while high-sentiment investors view it as an opportunity. Based on these findings, the following policies are recommended.