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<p>This study examines extreme tail-risk spillovers among energy-intensive cryptocurrencies (Bitcoin, Bitcoin Cash, Ethereum, Ethereum Classic, Litecoin, Monero), three major green assets (S&amp;P Green Bond Index, S&amp;P Global Clean Energy Index, S&amp;P ESG Leader Index), and two key commodities (Gold, WTI Crude Oil) across quantiles and frequency horizons. Using a quantile–frequency connectedness framework, we evaluate spillover patterns during bullish, bearish, and stable market conditions, with emphasis on the COVID-19 pandemic and Russia–Ukraine conflict. Results show that cryptocurrencies—particularly Bitcoin and Ethereum—are dominant short-term net transmitters during periods of elevated volatility. Conversely, green assets and commodities, especially Gold, consistently act as net receivers, reflecting stability during market stress. Spillovers weaken and relationships normalize under tranquil conditions. While Gold and WTI absorb short-term shocks, they become balanced over longer horizons. Overall, cryptocurrencies exert short-run influence, whereas traditional and green assets demonstrate long-term resilience, offering important implications for portfolio diversification and risk management.</p>

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Tail connectedness between energy-intensive cryptocurrencies, green bonds, clean energy, and commodity markets

  • 期刊论文

  • 发表日期：

    2026年5月4日

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  • Sami Al-Kharusi,
  • Eray Gemici,
  • Walid Mensi,
  • Sang Hoon Kang

摘要

This study examines extreme tail-risk spillovers among energy-intensive cryptocurrencies (Bitcoin, Bitcoin Cash, Ethereum, Ethereum Classic, Litecoin, Monero), three major green assets (S&P Green Bond Index, S&P Global Clean Energy Index, S&P ESG Leader Index), and two key commodities (Gold, WTI Crude Oil) across quantiles and frequency horizons. Using a quantile–frequency connectedness framework, we evaluate spillover patterns during bullish, bearish, and stable market conditions, with emphasis on the COVID-19 pandemic and Russia–Ukraine conflict. Results show that cryptocurrencies—particularly Bitcoin and Ethereum—are dominant short-term net transmitters during periods of elevated volatility. Conversely, green assets and commodities, especially Gold, consistently act as net receivers, reflecting stability during market stress. Spillovers weaken and relationships normalize under tranquil conditions. While Gold and WTI absorb short-term shocks, they become balanced over longer horizons. Overall, cryptocurrencies exert short-run influence, whereas traditional and green assets demonstrate long-term resilience, offering important implications for portfolio diversification and risk management.