Time-frequency connectedness among traditional/new energy, green finance, and ESG in pre- and post-Russia-Ukraine war periods

This paper examines how the continuing war between Russia and Ukraine affects the transmission of returns spillovers among traditional/new energy, green finance, and ESG. We evaluate the dynamic and directional risk connectedness across time and at various frequency bands using Diebold and Yilmaz and Barunik and Krehlik approaches. First, there is a noticeable rise in overall connectedness, from 19.36% to 29.99%, and it is more pronounced in the short time. Second, new energy, ESG, and green stocks are closely linked. Third, new energy, ESG, and green stock are main risk transmitters functioning in the long- and short-term respectively after the war. Fourth, the oil market becomes more vulnerable to other markets, changing from a net transmitter to a net receiver. These findings can offer important empirical implications for governments and market participants to copy with the contagion risk during the Russia-Ukraine war.