The spillovers among cryptocurrency, clean energy and oil

Abstract

The COVID-19 causes strong spillover effects between financial markets. This paper explores the dynamic spillover effects among cryptocurrency, clean energy and oil during the COVID-19 by employing TVP-VAR extended joint connectedness approach. The empirical results show that clean energy and oil markets appear to be the net receivers of spillovers, whereas cryptocurrency market appears to be a net transmitter of spillovers. The dynamic total connectedness experiences a rapid increase in March 2020 when the COVID-19 spreads around the world.