The transmission and influence mechanism of bitcoin, green bonds, renewable energy, and gold: a quantile connectedness approach

The study examined the connectedness among bitcoin, green bonds (represented by the US S&P Green Bond Index), renewable energy (represented by the OMX Biofuel Index), and gold, utilizing a novel quantile connectedness approach from 14 November 2017 to 30 May 2024. This approach contributes to understanding the transmission mechanisms, influence, and connectedness among the bitcoin, green bond, renewable energy, and gold markets. The result indicates that significant values appear at specific intervals. A significant spike was observed at specific intervals around 2019, mainly due to the trade war between the U.S. and China. A subsequent shock occurred between 2020 and 2021, driven by the COVID-19 pandemic. Moreover, the US credit crisis exacerbated volatility spillovers and financial contagion across markets, worsening these effects in 2023 and intensifying volatility spillovers and financial contagion across markets, exacerbating their outcomes. Additionally, the results suggest that Bitcoin primarily serves as a receiver of shocks. At the same time, the green bond transmits the shocks, and renewable energy and gold have switched between transmission and receiving shock roles during the period. The findings offer valuable insights into sustainable portfolio construction, highlighting that green bonds serve as primary transmitters of shocks and suggest a role as diversification anchors during market stress. Additionally, recognizing Bitcoin as a shock absorber and the shifting roles of renewable energy and gold help investors optimize risk-hedging strategies and enhance portfolio resilience across varying market conditions. This indicates that understanding how these assets correlate across various market scenarios is crucial to maximizing portfolio performance while accounting for sustainability constraints.