This study examines the influence of Physical Climate Risk (PCI) and Transitional Climate Risk (TCI) on various sectoral markets in Qatar, employing Multivariate Quantile-on-Quantile Regression (m-QQR) while considering the Oil Volatility Index (OVX) as a mediating variable.

This study offers a robust framework for understanding climate risk dynamics, thereby contributing to sustainable market performance and economic stability in the face of global climate challenges. At upper quantiles, PCI and TCI exhibit positive effects, particularly for Utilities, Industrial, Telecom, and the MSCI indices, underscoring their ability to capitalize on favorable situations driven by sustainability shifts and resilience strategies.

We also indicate that TCI has a negative impact on the MSCI index at lower quantiles, becomes stable at middle quantiles, and has a positive impact at upper quantiles. The PCI effect is negative and significant at lower quantiles but positive and significant at upper quantiles, suggesting potential signs of Qatar's financial market's resilience and adaptability toward climate risks and sustainability goals. These findings offer critical policy implications for corporations, policymakers, investors, and society.