Return volatility connectedness and portfolio strategies among sustainable assets with traditional counterparts and cryptocurrency: Insights from extreme markets

This study employs novel quantile time-frequency connectedness approach to explore the dynamic connectedness among sustainable assets (sustainable, green bond, and clean energy index), traditional assets (traditional index and crude oil), and cryptocurrency. This method assesses the impact of uncertain events on asset relationships. Findings indicate median connectedness of 36.94% in the short run and 4.81% in the long run, with short-term dynamics dominating system transmission. The traditional index is the primary transmitter of short-run shocks, while the green bond index leads in long-run shocks. Diversification across asset classes is recommended for effective hedging and optimal returns during extreme market conditions.