Who are the receivers and transmitters of volatility spillovers: oil, clean energy, and green and non-green cryptocurrency markets.

Abstract

In the context of clean energy and green cryptocurrency development, the relationship between energy and cryptocurrency markets deserves further exploration. This study employs a quantile time-frequency connectedness approach to measure the dynamic connectedness and volatility propagation mechanisms between oil, clean energy, green cryptocurrency (GC), and non-green cryptocurrency (NGC) markets. Our findings suggest that, at median and low volatility levels, the oil and clean energy markets act as net receivers, taking on volatility spillovers from cryptocurrency markets. However, at high volatility levels, oil and clean energy markets transform into net transmitters. Most NGCs are volatility transmitters, while most GCs are volatility receivers in the median and extremely high volatility cases. We also observe that the total connectedness index (TCI) is heterogeneous over time and dependent on economic events. At median and low volatility levels, the short-run TCI makes the primary contribution. On the other hand, for high volatility levels, where short-term TCI does not have an absolute advantage, long-term TCI plays a greater role in many periods. Additionally, there is asymmetry in the TCI (including long-term and short-term TCI) at the quantile level. In the median and extreme scenarios, the COVID-19 has caused different levels of shock on oil, clean energy, GC, and NGC markets connectedness.