Dependence and Spillover Dynamics Between Clean Energy, Non-Ferrous Metals, and Technological Innovation: Insights from a Global Stress Event

The rapid expansion of clean energy markets, coupled with the growing importance of non-ferrous metals and technological innovation, has created a highly interconnected financial and economic system. Understanding the dynamics of these interdependencies is essential for assessing market resilience, investment diversification, and the sustainability of the global energy transition. This paper investigates the dynamic dependence and connectedness between clean energy, non-ferrous metals, and technological innovation indices, with particular attention to the impact of the COVID-19 pandemic as a global stress event. Using daily data from December 2004 to July 2020, we employ a comprehensive empirical framework that combines copula-based dependence modeling with a dynamic connectedness approach. This methodology allows us to capture nonlinear relationships, tail dependencies, and volatility spillovers across markets. The results reveal that the dependence structure between clean energy and the other sectors is symmetric and time-varying, with stronger linkages observed between clean energy and technological innovation than with non-ferrous metals. The connectedness analysis indicates a moderate level of total spillovers, with clean energy acting as the main transmitter of shocks and technological innovation as the primary receiver. Focusing on the COVID-19 period, we find a significant increase in both dependence and connectedness, suggesting that these markets become more severely integrated during periods of extreme uncertainty. These findings support the presence of contagion effects and highlight the reduced effectiveness of diversification strategies during crisis episodes. The results offer forward-looking implications for investors and policymakers regarding risk transmission, portfolio management, and the resilience of markets supporting the global transition toward sustainable energy.