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This paper aims to examine the impact of geopolitical risk (GPR), threats (GPT) and acts (GPA) on returns and volatilities of regional climate change stocks under different market conditions, employing quantile regressions. Our main results suggest that climate change stock returns positively (negatively) respond to GPR in bullish (bearish) market states, however the effect is not uniform across the regions. The volatilities mainly show a positive response to geopolitical tensions; geopolitical acts appear to have a more pronounced impact on volatilities than geopolitical threats. We further find that GPR leads to higher volatility during the Russia-Ukraine war, creating heightened uncertainty. Overall, the results reveal that geopolitical risks have an asymmetric and heterogenous impact on climate change stocks. The results provide significant insights and implications for financial market participants and policy makers. • The study investigates how geopolitical risks (GPR) influence the returns and volatilities of climate change stocks in different market conditions. • We focus on the Russia's invasion of Ukraine as a geopolitical conflict. • We find an asymmetric impact of GPR on climate change stock returns, with positive responses observed in bullish market states and negative responses in bearish market states. • While GPR does not significantly affect returns, it leads to higher volatilities during the Russia-Ukraine war. [ABSTRACT FROM AUTHOR]