Quantile connectedness among green and dirty cryptocurrencies and North American clean technology and ESG

Abstract

We investigate volatility spillovers between green and dirty cryptocurrencies and North American clean technology and ESG equity using a quantile time–frequency connectedness approach. Leveraging an energy-efficiency-based classification of cryptocurrencies, we examine their dynamic interactions with sustainability-focused equity markets. The results reveal that connectedness varies across quantiles and time horizons, with heightened short-run spillovers during market stress. Bitcoin, Ethereum, and Cardano alternate between transmitter and receiver roles across regimes, whereas Ripple more consistently acts as a net receiver. Clean-technology and ESG equities exhibit state-dependent behaviour, shifting between shock absorption and propagation during systemic disruptions. Determinants analysis indicates that macro-financial uncertainty measures display horizon-specific associations with spillovers, while connectedness itself exhibits strong persistence, underscoring the path-dependent nature of systemic risk. Translating these findings into portfolio strategies, we show that minimum connectedness portfolios provide improved downside protection relative to traditional minimum variance and minimum correlation approaches during high-spillover states. By focusing on North American clean technology markets and situating the analysis within major systemic episodes, including the COVID-19 pandemic, the Russia-Ukraine conflict, the 2022–2023 monetary tightening cycle, the Terra-Luna and FTX-led crypto crises, and Ethereum’s energy transition from dirty to clean cryptocurrency post-merge in September 2022, the study offers a regionally grounded assessment of how North American climate-aligned equities and digital assets co-evolve under stress. The results offer valuable insights for investors and policymakers navigating increasingly climate-sensitive and digitally integrated financial systems.