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Spillover and return connectedness between uncertainties, digital assets, green bond, green and traditional energy markets: Evidence from quantile VAR

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  • Nasir, Rana Muhammad
  • He, Feng
  • Asadi, Mehrad
  • Roubaud, David

Abstract

This study investigates the extreme connectedness and spillover transmission between cryptocurrencies, digital assets, green bonds, traditional and green energy markets against different uncertainties from July 2, 2018, to February 3, 2023. First, we employ Quantile VAR to unveil extreme connectedness among markets. Further, Baruník and Křehlík (BK) framework is used to understand time frequency spillover transmission across our chosen markets. Our results indicate that spillover magnitude under bullish market conditions is higher than normal and bearish market conditions. In addition, the equity market volatility, geopolitical risk, Twitter-based economic risk, and oil markets are the major receiver of spillover across all market conditions. In contrast, NFTs and Defis are the significant transmitters of spillover across all quantiles. Similarly, natural gas and green bonds act as spillover transmitters under extreme quantiles. While, green energy and cryptocurrencies are net transmitters in only bearish market conditions. Based on these findings, this study proposed several important implications for investors, financial markets participants, portfolio managers and market regulators in terms of diversifying their risk and design effective market regulation policies.

Suggested Citation

  • Nasir, Rana Muhammad & He, Feng & Asadi, Mehrad & Roubaud, David, 2026. "Spillover and return connectedness between uncertainties, digital assets, green bond, green and traditional energy markets: Evidence from quantile VAR," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001780
    DOI: 10.1016/j.najef.2025.102538
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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