Spillover and return connectedness between uncertainties, digital assets, green bond, green and traditional energy markets: Evidence from quantile VAR

This study investigates the extreme connectedness and spillover transmission between cryptocurrencies, digital assets, green bonds, traditional and green energy markets against different uncertainties from July 2, 2018, to February 3, 2023. First, we employ Quantile VAR to unveil extreme connectedness among markets. Further, Baruník and Křehlík (BK) framework is used to understand time frequency spillover transmission across our chosen markets. Our results indicate that spillover magnitude under bullish market conditions is higher than normal and bearish market conditions. In addition, the equity market volatility, geopolitical risk, Twitter-based economic risk, and oil markets are the major receiver of spillover across all market conditions. In contrast, NFTs and Defis are the significant transmitters of spillover across all quantiles. Similarly, natural gas and green bonds act as spillover transmitters under extreme quantiles. While, green energy and cryptocurrencies are net transmitters in only bearish market conditions. Based on these findings, this study proposed several important implications for investors, financial markets participants, portfolio managers and market regulators in terms of diversifying their risk and design effective market regulation policies.