State‐Dependent Shock Transmission and Multiscale Comovements in Renewable‐Energy and Advanced‐Technology Equities

ABSTRACT This study examines state‐dependent shock transmission and multiscale comovement between renewable‐energy and advanced‐technology equity benchmarks. We combine quantile vector autoregression with generalized forecast error variance decomposition to measure system‐wide spillovers across the return distribution and then use wavelet quantile regression and wavelet quantile correlation to evaluate bilateral dependence across investment horizons. Using daily data from February 7, 2017, to June 20, 2025, we find that network connectedness is substantially stronger in the distributional tails and that transmitter‐receiver roles change across market states. The wavelet evidence adds a distinct horizon dimension. Short‐scale dependence is pronounced for several pairs during extreme states, whereas selected WIND and GTCLEN relationships strengthen at upper quantiles over longer scales. These results show that network‐level shock transmission and bilateral multiscale comovement provide complementary information for portfolio allocation, risk monitoring, and the assessment of cross‐sector financial exposure.