Higher-Order Moment Risk Spillovers Between Cryptocurrencies with Different Energy Intensities and the Carbon Market: A Multiscale Quantile-on-Quantile Perspective

The low-carbon transition has strengthened interactions between the cryptocurrency and carbon markets, while differences in cryptocurrency energy intensity may lead to heterogeneous risk spillover. We distinguish between energy-intensive and energy-efficient cryptocurrencies and use a multiscale quantile-on-quantile connectedness framework to examine spillovers in returns, volatility, skewness, and excess kurtosis. Three main findings emerge. First, connectedness is weak under normal market conditions but rises sharply when either market enters an extreme state. Return spillovers are concentrated mainly over short horizons, whereas volatility and higher-order risks show stronger connectedness over medium and long horizons. Second, net spillover roles vary across market states, investment horizons, and cryptocurrency types. Differences in energy intensity are particularly evident in volatility spillovers over long horizons and cross-state skewness transmission, while Ethereum shows a transitional pattern following its shift from proof-of-work to proof-of-stake. Third, the relative importance of direct and reverse connectedness varies across risk measures and horizons. These linkages are also sensitive to common external shocks, with major energy and monetary events producing distinct horizon-dependent responses. These findings highlight the importance of jointly considering energy intensity, higher-order risks, market states, and investment horizons in cross-market risk management.