Return Transmission among Fossil Energy Commodities, Clean Energy Stocks, Green Bonds, and Energy Cryptocurrency

Year 2025, Volume: 12 Issue: 3, 882 - 899, 30.09.2025

Pinar Evrim Mandacı , Birce Tedik Kocakaya , Efe Çağlar Çağlı

Abstract

This paper investigates return transmission among fossil energy commodities (crude oil, natural gas, gas oil, unleaded gasoline, and heating oil), clean energy stocks, green bonds, and energy cryptocurrency markets. We consider Bloomberg’s fossil energy subindices to proxy various energy commodities. We use the WilderHill Clean Energy Index (ECO) and Solactive Green Bond Index (GB) as proxies for clean energy stocks and green bonds. In addition, the Powerledger (POWR) coin is used to proxy energy cryptocurrency. We employ the TVP-VAR frequency connectedness technique for the period from November 12, 2017, to September 28, 2023. Our findings indicate a moderate level of interdependence with an apparent increase observed during the COVID-19 pandemic. Notably, short-term factors play a significant role in shaping this connectedness. Furthermore, the analysis identifies clean energy stocks, green bonds and energy cryptocurrencies as recipients, while all fossil energy commodities other than natural gas and gasoline are identified as transmitters. These conclusions have important implications for investors and policymakers.

Keywords

Green markets , Energy market , Energy cryptocurrency , COVID-19 pandemic , TVP-VAR

Ethical Statement

Ethics Committee approval was not required for this study. The authors declare that the study was conducted in accordance with research and publication ethics. The authors confirm that no part of the study was generated, either wholly or in part, using Artificial Intelligence (AI) tools. The authors declare that there are no financial conflicts of interest involving any institution, organization, or individual associated with this article. Additionally, there are no conflicts of interest among the authors. The authors declare that they contributed equally to all processes of the study.

Project Number

Project Number: 2022-2908 (The Research Universities Support Program (ADEP) by the Council of Higher Education (YÖK))

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