The Dynamic Interplay of Renewable Energy Investment: Unpacking the Spillover Effects on Renewable Energy Tokens, Fossil Fuel, and Clean Energy Stocks

The urgency of transitioning to sustainable energy has accelerated amid climate change concerns and fossil fuel depletion. This study introduces a novel comparative framework that integrates Time-Varying Parameter Vector Autoregression (TVP-VAR) and Quantile Vector Autoregression (QVAR) models to examine both returns and realized volatility across renewable-energy tokens (Powerledger and Wepower), clean-energy stocks, and crude oil. This dual-method approach uniquely captures time-varying and tail-specific spillovers, extending previous studies that relied on a single model or ignored volatility interactions. Using daily data from February 2018 to January 2023, we reveal moderate but significant interconnectedness—about 30% on average—with stronger linkages during global crises such as COVID-19 and the Russia–Ukraine conflict. Renewable-energy tokens act mainly as net receivers of shocks, implying their role as protective diversification assets, while clean-energy stocks are net transmitters and oil alternates between both roles. These results highlight how digital assets interact with traditional energy markets under varying conditions. The study offers practical implications for portfolio diversification and emphasizes the need for transparent, supportive regulation to prevent tokens from amplifying systemic risk while promoting the stability of sustainable-energy investment markets.