Abstract
Over the last decade, increased awareness about environmental sustainability raised additional focus on green assets as a popular investment vehicle for reaching a carbon-free world. In this study, we analyze whether the dynamics of interconnectedness between ecologically sustainable, green energy, and brown ETFs have changed with the changing market conditions induced by the pandemic and a war scenario using an empirical network model based on TVP-VAR. The study findings report that sustainable and green energy ETFs are the primary givers, and brown energy ETFs are net receivers. The information transmission heightens during the first two waves of the COVID-19 pandemic, followed by a cooling phase. The results fully comprehend the effect of shifts in information transmission between environmentally sustainable, green, and brown ETFs, which aids policy-making, asset allocation, and pricing.
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