This study examines the dynamic connectedness among energy ETFs, sustainability ETFs, and the USA technology sector indices using a quantile vector autoregression (QVAR) and time-varying parameter VAR (TVP-VAR) framework over the period October 2014 to November 2024. By incorporating quantile-based spillover analysis, we capture asymmetric transmission mechanisms across market regimes, while robustness checks using rolling windows, TVP-VAR, and subsample estimation confirm the stability of our findings. The results reveal that connectedness is state-dependent: under normal conditions, technology and sustainability benchmarks (XLK, DSI) dominate as volatility transmitters, whereas during crises such as COVID-19, traditional energy ETFs (XLE, VDE, IYE) emerge as systemic hubs. Post-COVID, systemic leadership reverts to sustainability and technology sector indices, with clean-tech ETFs (QCLN) increasingly transmitting shocks, reflecting the rising financialization of ESG-related assets. Overall, the evidence highlights a structural role reversal between transmitters and receivers across regimes, with policy implications for risk monitoring, portfolio hedging, and the design of sustainable investment strategies.
Fida et al. (Thu,) studied this question.