Return Transmission among Fossil Energy Commodities, Clean Energy Stocks, Green Bonds, and Energy Cryptocurrency

This paper investigates return transmission among fossil energy commodities (crude oil, natural gas, gas oil, unleaded gasoline, and heating oil), clean energy stocks, green bonds, and energy cryptocurrency markets. We consider Bloomberg’s fossil energy subindices to proxy various energy commodities. We use the WilderHill Clean Energy Index (ECO) and Solactive Green Bond Index (GB) as proxies for clean energy stocks and green bonds. In addition, the Powerledger (POWR) coin is used to proxy energy cryptocurrency. We employ the TVP-VAR frequency connectedness technique for the period from November 12, 2017, to September 28, 2023. Our findings indicate a moderate level of interdependence with an apparent increase observed during the COVID-19 pandemic. Notably, short-term factors play a significant role in shaping this connectedness. Furthermore, the analysis identifies clean energy stocks, green bonds and energy cryptocurrencies as recipients, while all fossil energy commodities other than natural gas and gasoline are identified as transmitters. These conclusions have important implications for investors and policymakers.