Table 2. Spillovers measures based on...

Table 2.

Spillovers measures based on the quantile VAR (mean quantile $τ$ = 0.5)

Variables	CO₂	Renewable.Energy	Natural.Gas	Crude.Oil	Circular.Economy	Green.Bonds	FROM
Lower quantile $τ$ =0.05
Pre-COVID-19 pandemic period
CO₂	86.72	3.22	1.89	3.73	2.32	2.12	13.28
Renewable.Energy	2.92	75.83	2.11	6.67	10.29	2.19	24.17
Natural.Gas	2.26	2.05	86.33	3.15	2.87	3.35	13.67
Crude.Oil	3.33	7.66	3.06	81.67	1.41	2.88	18.33
Circular.Economy	2.14	11.99	1.15	1.01	81.71	1.99	18.29
Green.Bonds	2.42	2.35	4.16	3.45	2.60	85.02	14.98
TO	13.07	27.26	12.36	18.00	19.48	12.53	102.71
Inc.Own	99.79	103.10	98.70	99.67	101.19	97.56	cTCI/TCI
NET	−0.21	3.10	−1.30	−0.33	1.19	−2.44	20.54/17.12
NPT	2.00	4.00	2.00	3.00	4.00	0.00
COVID-19 pandemic period
CO₂	77.54	5.59	3.86	5.96	5.33	1.72	22.46
Renewable.Energy	4.58	64.02	2.26	4.81	21.50	2.83	35.98
Natural.Gas	4.82	1.67	85.45	2.12	2.83	3.11	14.55
Crude.Oil	5.77	5.33	1.68	77.71	7.62	1.88	22.29
Circular.Economy	4.38	20.49	1.03	7.19	65.35	1.56	34.65
Green.Bonds	1.83	2.15	2.95	4.05	2.01	87.01	12.99
TO	21.37	35.24	11.78	24.14	39.28	11.10	142.91
Inc.Own	98.92	99.26	97.23	101.85	104.63	98.12	cTCI/TCI
NET	−1.08	−0.74	−2.77	1.85	4.63	−1.88	28.58/23.82
NPT	2.00	2.00	1.00	3.00	5.00	2.00
Russia–Ukraine war
CO₂	88.48	2.05	2.37	2.16	3.17	1.76	11.52
Renewable.Energy	1.50	70.13	3.00	3.63	20.05	1.68	29.87
Natural.Gas	1.45	3.67	87.40	1.80	3.43	2.25	12.60
Crude.Oil	2.84	4.80	2.42	84.13	4.23	1.58	15.87
Circular.Economy	1.65	20.05	1.42	2.45	73.02	1.41	26.98
Green.Bonds	1.90	2.32	2.23	1.61	3.29	88.65	11.35
TO	9.34	32.90	11.44	11.66	34.16	8.69	108.19
Inc.Own	97.82	103.03	98.84	95.79	107.18	97.34	cTCI/TCI
NET	−2.18	3.03	−1.16	−4.21	7.18	−2.66	21.64/18.03
NPT	2.00	5.00	2.00	1.00	4.00	1.00
Median quantile $τ$ =0.5
Pre-COVID-19 pandemic period
CO₂	25.84	16.43	14.55	13.98	13.58	15.63	74.16
Renewable.Energy	14.50	24.44	14.79	14.71	16.14	15.42	75.56
Natural.Gas	14.87	15.91	24.94	14.86	12.74	16.68	75.06
Crude.Oil	16.10	17.07	15.91	23.42	12.46	15.04	76.58
Circular.Economy	14.27	18.20	13.62	14.01	24.78	15.11	75.22
Green.Bonds	13.90	15.97	15.41	14.89	14.36	25.47	74.53
TO	73.65	83.58	74.27	72.45	69.27	77.89	451.11
Inc.Own	99.49	108.02	99.21	95.88	94.06	103.36	cTCI/TCI
NET	−0.51	8.02	−0.79	−4.12	−5.94	3.36	90.22/75.19
NPT	3.00	5.00	2.00	1.00	0.00
COVID-19 pandemic period
CO₂	24.47	15.45	14.35	14.79	16.65	14.30	75.53
Renewable.Energy	14.89	23.42	13.85	13.99	18.87	14.99	76.58
Natural.Gas	14.94	14.93	24.42	14.16	15.54	16.01	75.58
Crude.Oil	15.11	15.01	13.58	24.26	17.37	14.67	75.74
Circular.Economy	15.01	17.04	13.78	14.87	24.54	14.76	75.46
Green.Bonds	14.39	14.71	15.02	14.06	16.30	25.52	74.48
TO	74.33	77.14	70.57	71.88	84.72	74.73	453.37
Inc.Own	98.80	100.55	94.99	96.14	109.26	100.25	cTCI/TCI
NET	−1.20	0.55	−5.01	−3.86	9.26	0.25	90.67/75.56
NPT	3.00	3.00	0.00	1.00	5.00	3.00
Russia–Ukraine war
CO₂	26.95	14.88	14.17	15.61	14.70	13.68	73.05
Renewable.Energy	13.74	24.74	14.77	15.49	18.59	12.67	75.26
Natural.Gas	13.58	15.66	27.67	14.73	14.35	14.01	72.33
Crude.Oil	14.37	15.57	14.44	26.00	15.35	14.28	74.00
Circular.Economy	13.76	18.58	14.09	15.28	24.59	13.69	75.41
Green.Bonds	13.62	14.13	14.11	14.77	14.65	28.72	71.28
TO	69.07	78.82	71.60	75.88	77.63	68.33	441.33
Inc.Own	96.01	103.57	99.27	101.88	102.23	97.05	cTCI/TCI
NET	−3.99	3.57	−0.73	1.88	2.23	−2.95	88.27/73.55
NPT	0.00	4.00	2.00	3.00	5.00	1.00
Upper quantile $τ$ =0.95
Pre-COVID-19 pandemic period
CO₂	25.59	14.47	16.06	14.60	15.30	13.97	74.41
Renewable.Energy	14.30	26.52	13.49	14.68	16.74	14.27	73.48
Natural.Gas	15.10	13.74	27.53	14.77	12.92	15.94	72.47
Crude.Oil	15.29	15.09	15.70	25.92	12.92	15.07	74.08
Circular.Economy	14.69	17.52	13.62	14.23	25.23	14.70	74.77
Green.Bonds	14.05	14.59	16.39	15.15	15.14	24.67	75.33
TO	73.43	75.42	75.26	73.45	73.02	73.96	444.54
Inc.Own	99.03	101.93	102.80	99.37	98.25	98.63	cTCI/TCI
NET	−0.97	1.93	2.80	−0.63	−1.75	−1.37	88.91/74.09
NPT	26.31	13.97	16.53	13.35	14.89	14.96	73.69
COVID-19 pandemic period
CO₂	26.47	15.54	14.28	15.17	15.32	13.21	73.53
Renewable.Energy	15.19	24.20	13.50	15.01	18.03	14.07	75.80
Natural.Gas	15.62	15.40	25.97	13.74	14.76	14.52	74.03
Crude.Oil	15.47	15.17	13.50	26.76	15.86	13.25	73.24
Circular.Economy	14.54	18.77	12.95	15.35	24.94	13.45	75.06
Green.Bonds	14.71	14.63	15.01	13.94	14.05	27.67	72.33
TO	75.52	79.50	69.24	73.21	78.01	68.50	443.99
Inc.Own	101.98	103.71	95.21	99.97	102.95	96.17	cTCI/TCI
NET	1.98	3.71	−4.79	−0.03	2.95	−3.83	88.80/74.00
NPT	3.00	5.00	1.00	2.00	4.00	0.00
Russia–Ukraine war
CO₂	25.90	14.50	14.18	14.54	16.01	14.86	74.10
Renewable.Energy	14.14	23.72	14.75	14.28	18.85	14.25	76.28
Natural.Gas	14.64	14.98	25.72	14.40	15.41	14.85	74.28
Crude.Oil	14.63	14.35	14.44	26.08	15.93	14.56	73.92
Circular.Economy	14.70	17.37	14.45	14.40	24.50	14.57	75.50
Green.Bonds	15.34	13.67	15.06	13.87	15.87	26.19	73.81
TO	73.45	74.87	72.90	71.50	82.07	73.09	447.87
Inc.Own	99.35	98.59	98.62	97.58	106.57	99.29	cTCI/TCI
NET	−0.65	−1.41	−1.38	−2.42	6.57	−0.71	89.57/74.65
NPT	3.00	3.00	2.00	0.00	5.00	2.00

Variables	CO₂	Renewable.Energy	Natural.Gas	Crude.Oil	Circular.Economy	Green.Bonds	FROM
Lower quantile $τ$ =0.05
Pre-COVID-19 pandemic period
CO₂	86.72	3.22	1.89	3.73	2.32	2.12	13.28
Renewable.Energy	2.92	75.83	2.11	6.67	10.29	2.19	24.17
Natural.Gas	2.26	2.05	86.33	3.15	2.87	3.35	13.67
Crude.Oil	3.33	7.66	3.06	81.67	1.41	2.88	18.33
Circular.Economy	2.14	11.99	1.15	1.01	81.71	1.99	18.29
Green.Bonds	2.42	2.35	4.16	3.45	2.60	85.02	14.98
TO	13.07	27.26	12.36	18.00	19.48	12.53	102.71
Inc.Own	99.79	103.10	98.70	99.67	101.19	97.56	cTCI/TCI
NET	−0.21	3.10	−1.30	−0.33	1.19	−2.44	20.54/17.12
NPT	2.00	4.00	2.00	3.00	4.00	0.00
COVID-19 pandemic period
CO₂	77.54	5.59	3.86	5.96	5.33	1.72	22.46
Renewable.Energy	4.58	64.02	2.26	4.81	21.50	2.83	35.98
Natural.Gas	4.82	1.67	85.45	2.12	2.83	3.11	14.55
Crude.Oil	5.77	5.33	1.68	77.71	7.62	1.88	22.29
Circular.Economy	4.38	20.49	1.03	7.19	65.35	1.56	34.65
Green.Bonds	1.83	2.15	2.95	4.05	2.01	87.01	12.99
TO	21.37	35.24	11.78	24.14	39.28	11.10	142.91
Inc.Own	98.92	99.26	97.23	101.85	104.63	98.12	cTCI/TCI
NET	−1.08	−0.74	−2.77	1.85	4.63	−1.88	28.58/23.82
NPT	2.00	2.00	1.00	3.00	5.00	2.00
Russia–Ukraine war
CO₂	88.48	2.05	2.37	2.16	3.17	1.76	11.52
Renewable.Energy	1.50	70.13	3.00	3.63	20.05	1.68	29.87
Natural.Gas	1.45	3.67	87.40	1.80	3.43	2.25	12.60
Crude.Oil	2.84	4.80	2.42	84.13	4.23	1.58	15.87
Circular.Economy	1.65	20.05	1.42	2.45	73.02	1.41	26.98
Green.Bonds	1.90	2.32	2.23	1.61	3.29	88.65	11.35
TO	9.34	32.90	11.44	11.66	34.16	8.69	108.19
Inc.Own	97.82	103.03	98.84	95.79	107.18	97.34	cTCI/TCI
NET	−2.18	3.03	−1.16	−4.21	7.18	−2.66	21.64/18.03
NPT	2.00	5.00	2.00	1.00	4.00	1.00
Median quantile $τ$ =0.5
Pre-COVID-19 pandemic period
CO₂	25.84	16.43	14.55	13.98	13.58	15.63	74.16
Renewable.Energy	14.50	24.44	14.79	14.71	16.14	15.42	75.56
Natural.Gas	14.87	15.91	24.94	14.86	12.74	16.68	75.06
Crude.Oil	16.10	17.07	15.91	23.42	12.46	15.04	76.58
Circular.Economy	14.27	18.20	13.62	14.01	24.78	15.11	75.22
Green.Bonds	13.90	15.97	15.41	14.89	14.36	25.47	74.53
TO	73.65	83.58	74.27	72.45	69.27	77.89	451.11
Inc.Own	99.49	108.02	99.21	95.88	94.06	103.36	cTCI/TCI
NET	−0.51	8.02	−0.79	−4.12	−5.94	3.36	90.22/75.19
NPT	3.00	5.00	2.00	1.00	0.00
COVID-19 pandemic period
CO₂	24.47	15.45	14.35	14.79	16.65	14.30	75.53
Renewable.Energy	14.89	23.42	13.85	13.99	18.87	14.99	76.58
Natural.Gas	14.94	14.93	24.42	14.16	15.54	16.01	75.58
Crude.Oil	15.11	15.01	13.58	24.26	17.37	14.67	75.74
Circular.Economy	15.01	17.04	13.78	14.87	24.54	14.76	75.46
Green.Bonds	14.39	14.71	15.02	14.06	16.30	25.52	74.48
TO	74.33	77.14	70.57	71.88	84.72	74.73	453.37
Inc.Own	98.80	100.55	94.99	96.14	109.26	100.25	cTCI/TCI
NET	−1.20	0.55	−5.01	−3.86	9.26	0.25	90.67/75.56
NPT	3.00	3.00	0.00	1.00	5.00	3.00
Russia–Ukraine war
CO₂	26.95	14.88	14.17	15.61	14.70	13.68	73.05
Renewable.Energy	13.74	24.74	14.77	15.49	18.59	12.67	75.26
Natural.Gas	13.58	15.66	27.67	14.73	14.35	14.01	72.33
Crude.Oil	14.37	15.57	14.44	26.00	15.35	14.28	74.00
Circular.Economy	13.76	18.58	14.09	15.28	24.59	13.69	75.41
Green.Bonds	13.62	14.13	14.11	14.77	14.65	28.72	71.28
TO	69.07	78.82	71.60	75.88	77.63	68.33	441.33
Inc.Own	96.01	103.57	99.27	101.88	102.23	97.05	cTCI/TCI
NET	−3.99	3.57	−0.73	1.88	2.23	−2.95	88.27/73.55
NPT	0.00	4.00	2.00	3.00	5.00	1.00
Upper quantile $τ$ =0.95
Pre-COVID-19 pandemic period
CO₂	25.59	14.47	16.06	14.60	15.30	13.97	74.41
Renewable.Energy	14.30	26.52	13.49	14.68	16.74	14.27	73.48
Natural.Gas	15.10	13.74	27.53	14.77	12.92	15.94	72.47
Crude.Oil	15.29	15.09	15.70	25.92	12.92	15.07	74.08
Circular.Economy	14.69	17.52	13.62	14.23	25.23	14.70	74.77
Green.Bonds	14.05	14.59	16.39	15.15	15.14	24.67	75.33
TO	73.43	75.42	75.26	73.45	73.02	73.96	444.54
Inc.Own	99.03	101.93	102.80	99.37	98.25	98.63	cTCI/TCI
NET	−0.97	1.93	2.80	−0.63	−1.75	−1.37	88.91/74.09
NPT	26.31	13.97	16.53	13.35	14.89	14.96	73.69
COVID-19 pandemic period
CO₂	26.47	15.54	14.28	15.17	15.32	13.21	73.53
Renewable.Energy	15.19	24.20	13.50	15.01	18.03	14.07	75.80
Natural.Gas	15.62	15.40	25.97	13.74	14.76	14.52	74.03
Crude.Oil	15.47	15.17	13.50	26.76	15.86	13.25	73.24
Circular.Economy	14.54	18.77	12.95	15.35	24.94	13.45	75.06
Green.Bonds	14.71	14.63	15.01	13.94	14.05	27.67	72.33
TO	75.52	79.50	69.24	73.21	78.01	68.50	443.99
Inc.Own	101.98	103.71	95.21	99.97	102.95	96.17	cTCI/TCI
NET	1.98	3.71	−4.79	−0.03	2.95	−3.83	88.80/74.00
NPT	3.00	5.00	1.00	2.00	4.00	0.00
Russia–Ukraine war
CO₂	25.90	14.50	14.18	14.54	16.01	14.86	74.10
Renewable.Energy	14.14	23.72	14.75	14.28	18.85	14.25	76.28
Natural.Gas	14.64	14.98	25.72	14.40	15.41	14.85	74.28
Crude.Oil	14.63	14.35	14.44	26.08	15.93	14.56	73.92
Circular.Economy	14.70	17.37	14.45	14.40	24.50	14.57	75.50
Green.Bonds	15.34	13.67	15.06	13.87	15.87	26.19	73.81
TO	73.45	74.87	72.90	71.50	82.07	73.09	447.87
Inc.Own	99.35	98.59	98.62	97.58	106.57	99.29	cTCI/TCI
NET	−0.65	−1.41	−1.38	−2.42	6.57	−0.71	89.57/74.65
NPT	3.00	3.00	2.00	0.00	5.00	2.00

Note(s):

This table present the directional connectedness indices between the return of global carbon emissions indices, the WilderHill Clean Energy Index (ECO) representing renewable energy, crude oil and natural gas as proxies for nonrenewable energy and sustainable finance instruments including the Global X Global Sustainability Leaders Index ETF and the Green Bond Index using the TVP-VAR method by Antonakakis et al. (2020). The rightmost column (FROM) in the table shows the directional spillover received by a specific market from all other markets. The penultimate row (TO) displays the directional spillover transmitted from a specific market to all others. The bottom row (NET) represents the net spillover, calculated as the difference between the TO and FROM spillovers for a given market. The bold number in the bottom right corner is the Total Connectedness Index (TCI) for all the markets

Source(s): Author

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