Return connectedness and multiscale spillovers across clean energy indices and grain commodity markets around COVID-19 crisis.

The aim of this paper is to examine the return connectedness and multiscale spillovers between the Clean Energy Index and the grain commodity market around COVID-19. Using daily data from January 4, 2017 to July 1, 2022, a time-varying parametric vector autoregressive (TVP-VAR) connectedness approach is first used to reveal connectedness patterns before and during COVID-19. We further used Baruník and Křehlík (2018)'s frequency domain spillover method to assess connectedness in different domain horizons. Our results show spillover effects over time and frequency, with COVID-19 significantly affecting the connectedness of the whole system. Dynamic connectedness peaks significantly after sudden bursts of COVID-19, validating the reported uncertainty. We also documented higher spillover levels in the short term than in the medium and long term. In addition, We find that (i) most clean energy indices are positively affected by the COVID-19 outbreak; (ii) the NASDAQ OMX Bio/Clean Fuels Index and NASDAQ OMX Geothermal Index send spillovers to all grain commodities throughout the sample period, while the WilderHill Clean Energy Index and NASDAQ OMX Wind Energy Index indices are the largest recipients of spillovers from other markets regardless of time horizon; (iii) the OMX Bio/Clean Fuels and OMX Geothermal Energy indices dominate spillover shocks to grain commodity markets. This is the first study to analyse the connectedness and time-frequency dynamics of returns in the green energy index and the grain commodity market. These results provide valuable insights to investors and key policymakers, especially at a time of more significant uncertainty. • Examine the return connectedness between the Clean Energy Index and the grain commodity market. • Dynamic connectedness peaks significantly after sudden bursts of COVID-19. • Higher spillover levels in the short term than in the medium and long term. • OMX Bio/Clean Fuels and OMX Geothermal Energy indices dominate spillover shocks to grain commodity markets. [ABSTRACT FROM AUTHOR]