Quantile Connectedness Amongst Green Assets Amid COVID-19 and Russia–Ukraine Tussle

With the advent of greening the global economy and the introduction of green financial assets, this study examines the connectedness and spillover effect of green assets using a QVAR approach focusing on the average connectedness and connectedness under extreme market conditions. The time of the study captures the crucial global incidents of COVID-19 and Russia–Ukraine war to investigate the effect of major incidents on the connectedness of green assets. The results of the QVAR analysis reveal that green assets are moderately connected under normal market conditions; however, their connection is strengthened under extreme market conditions. IOTA and SP Green Bonds are the net receivers of shocks from other assets, and SP Green Bonds are connected to green energy indices and green cryptocurrencies during turbulent markets. Since green cryptocurrencies are closely connected, a lower portion of them should be added to portfolios, whereas SP Green Bonds qualify as a good diversifying agent in a portfolio. The study has significant implications for market participants, investors, and policymakers.