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This paper examines the risk transmissions across the green economy indices of three major regions which include US, Europe and Asia. The econometric analyses are conducted using DCC-GARCH and TVP-VAR connectedness approach to evaluate potential spillover effects within the context of oil and gold. Results indicate that green economy indices of US-Europe exhibit the greatest time-varying correlations among the three pairs during much of 2010–2022 consistent with that of the general equity market. However, co-movements during the COVID-19 pandemic period seem to display a change in pattern for green economy indices. The strength of the co-movements between the US and Europe displayed a declining trend, while that between US and Asia was strengthened, suggesting greater interdependence between these two markets. TVP-VAR connectedness analysis revealed that US and Europe dominate the transmission of the shocks across the years in the green economy, similar to that of the equity markets. However, during the pandemic a pronounced shift occurred in green economies when considering the risk transmissions within the context of commodities: oil and gold. While Asian green economy index was persistently a receiver of risk transmission from oil unlike the other two regions, since pandemic, oil displayed an asymmetric effect and has become the net transmitter of risk in negative returns of the green economies of US and Europe. This may reflect the diversion in environmental policies of the two regions in the recent past, and point to the dominance of energy sector in the green economy. These findings have substantial implications for the development of green economy policies and from an investment perspective. [ABSTRACT FROM AUTHOR]

• Transmissions of volatilities among energy and stock markets during the Covid-19 pandemic crisis surpassed the ones recorded during the 2008 global financial crisis. • All stock markets are net transmitters of volatility to energy markets during the 2008 global financial crisis. • MSCI world stock market is a net transmitter of volatility to energy markets during the Covid-19 crisis. • MSCI Europe stock market is a net receiver of volatility from energy markets during the Covid-19 crisis. • MSCI emerging stock market is a net transmitter of volatility to crude oil and a net receiver from natural gas during the Covid-19 crisis. • The bad asymmetries in volatility spillovers originating from crude oil during the Covid-19 crisis are persistent for the MSCI world and Europe stock markets, while punctual and promptly turned into positive ones for emerging stock markets. This paper investigates volatility spillovers between energy and stock markets during periods of crises. Our main findings reveal that transmissions of volatilities among these markets during the Covid-19 pandemic crisis exceeded the ones recorded throughout the 2008 global financial crisis. All stock markets are net transmitters of volatility to energy markets during the 2008 global financial crisis while they show different patterns during the Covid-19 crisis. We also provide evidence of asymmetric volatility spillovers among stock and energy markets. Our results also indicate that on average natural gas provides better hedging effectiveness to the stock markets than crude oil. [ABSTRACT FROM AUTHOR]

In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters. • COVID-19 has magnified the volatility spillovers in the stock market. • Socks to energy sector significantly spills over to other sectors. • FMCG remains the largest net recipient of the volatility spillovers from other sectors.