Green finance and commodities: Cross-market connectedness during different COVID-19 episodes

With the global financial markets having experienced three different market states following the outbreak of the COVID-19 pandemic coupled with the higher integration among financial markets, it is crucial to unravel the implications of the nexus between green finance and commodities on the move towards a green economy. Thus, we examine the response of seven green assets to three energy (jet fuel, crude oil, and natural gas) and two metallic (gold and silver) commodities for the bearish (early COVID-19 period), normal (mid-COVID-19 period), and bullish (higher economic recovery period) market states using the quantiles-on-quantiles technique. The results reveal that green finance serves as a complement to the commodities during the bearish market state, but as the market gradually recovers, the relationship is only sustained for the commonly demanded commodities (i. e. jet fuel, crude oil, and gold) and neutral for others. During the bullish market condition, green finance becomes negatively affected by crude oil, making them substitutes, while it still maintains a complementary and neutral stance with gold and other commodities, respectively. As highlighted in the conclusion, these established find-ings have crucial policy and investment implications for the green agenda.