Dynamic Connectedness Among the Energy ETFs, Sustainability ETFs, and US Technology Sector Indices: An Application of Statistical Modelling

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.