The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets

Considering the heterogeneity of different sub-sectors of clean energy, such as clean fuels, renewable energy and energy efficiency, this paper adopts the time-domain spillover index model, extreme spillover index model, and frequency-domain spillover model to analyze the spillover effects between sub-sector clean energy markets and traditional energy and metal markets under normal conditions, extreme conditions, and frequency-domain conditions. The empirical results highlight three interesting and noteworthy aspects: (1) Clean energy efficiency is almost a net transmitter in normal time domain spillover, extreme spillover, short-term and long-term spillover perspectives, which reveal that clean energy efficiency is the key risk maker among traditional energy, metal and sub-sector clean energy markets, while traditional energy markets and metal markets are the risk recipients. (2) Our results provide evidence that there is a higher spillover effect among these markets under lower and upper extreme market conditions, and there is a significant asymmetry effect between lower and upper conditions. (3) We also find that the spillover effect is long-term dominated, and the contributions to other markets in the short-term and long-term are positively correlated. Our paper focuses on the heterogeneity of spillover effects between different sub-sectors of clean energy and traditional energy and metal markets, which can better understand the market and make reasonable and accurate decisions for investors and regulators.