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<p>The increasing integration of cryptocurrency, electricity, clean energy, and green investment markets highlights the necessity of understanding their interconnectedness and systemic risk transmission. This study investigates the spillover effects among these markets using time-frequency and quantile connectedness frameworks, covering data from 2017 to 2024. The findings reveal that (i) Average TCI shows total spillover of 22.21% under normal conditions, with short-term connectedness (16.52%) dominating long-term connectedness (5.68%), indicating that systemic risk is primarily driven by short-term fluctuations. (ii) Under normal market conditions, Bitcoin prices and electricity markets exert relatively limited influence, whereas the Bitcoin Electricity Consumption Index and Green Bond markets serve as significant net recipients of shocks in both short- and long-term dynamics. In contrast, Clean Energy and the Dow Jones Sustainability World Index emerge as key risk transmitters. (iii) Under extreme market conditions, spillover effects intensify significantly across all markets, demonstrating their heightened vulnerability to systemic shocks. The overall connectedness exhibits symmetry across bull and bear markets, except for Bitcoin price. (iv) Special events, such as the COVID-19 pandemic, amplify spillover intensity, reinforcing the importance of incorporating extreme event risk into market stability assessments. These findings underline the necessity for investors and policymakers to adjust portfolios dynamically based on investment horizons and prevailing market conditions to enhance financial stability in green and digital markets.</p>

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Quantile Time-Frequency Connectedness Between Cryptocurrency, Electricity, Clean Energy, and Green Investment Markets

  • 期刊论文

  • 发表日期：

    2025年11月22日

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  • Hongli Niu,
  • Xiyu Liu

摘要

The increasing integration of cryptocurrency, electricity, clean energy, and green investment markets highlights the necessity of understanding their interconnectedness and systemic risk transmission. This study investigates the spillover effects among these markets using time-frequency and quantile connectedness frameworks, covering data from 2017 to 2024. The findings reveal that (i) Average TCI shows total spillover of 22.21% under normal conditions, with short-term connectedness (16.52%) dominating long-term connectedness (5.68%), indicating that systemic risk is primarily driven by short-term fluctuations. (ii) Under normal market conditions, Bitcoin prices and electricity markets exert relatively limited influence, whereas the Bitcoin Electricity Consumption Index and Green Bond markets serve as significant net recipients of shocks in both short- and long-term dynamics. In contrast, Clean Energy and the Dow Jones Sustainability World Index emerge as key risk transmitters. (iii) Under extreme market conditions, spillover effects intensify significantly across all markets, demonstrating their heightened vulnerability to systemic shocks. The overall connectedness exhibits symmetry across bull and bear markets, except for Bitcoin price. (iv) Special events, such as the COVID-19 pandemic, amplify spillover intensity, reinforcing the importance of incorporating extreme event risk into market stability assessments. These findings underline the necessity for investors and policymakers to adjust portfolios dynamically based on investment horizons and prevailing market conditions to enhance financial stability in green and digital markets.