This study investigates how energy and stock markets affect the dynamics of green stock price returns consid ering recent periods of crises and increased uncertainty. Particularly, following the 21st Conference of the Parties (COP21)-Paris agreement and global financial crisis, it is important to assess the causal relationship between energy market, stock market, and green stock returns. Accordingly, this study employed different quantile causality approaches to conduct a detailed analysis of the asymmetric causal relationship associated with different market regimes (normal, bad, and good). Overall, our parametric Granger-causality findings show that clean energy markets react to crude oil and stock markets depending on the market regime. Additionally, the cross-correlogram test revealed that there are negative and significant cross relations when the stock market is in bullish condition and clean energy indices in bearish conditions. These findings have important implications for portfolio diversification and hedging decisions of environmentally concerned investors. This also supports pol icymakers in articulating policies that seek to avoid the contagion risk to ensure financial stability.