Extreme quantile spillovers and drivers among clean energy, electricity and energy metals markets

This paper examines return and volatility spillover effects among the clean energy (electric vehicles, solar and wind), electricity and 8 energy metals (silver, tin, nickel, cobalt, lead, zinc, aluminum and copper) markets and their drivers under the conditions of the mean and extreme quantiles. The results show moderate spillovers among the clean energy, electricity and energy metals markets, and greater connectivity among the three markets under extreme quantile conditions. Among them, the clean energy markets always play the role of the transmitter, and the electricity market always plays the role of the receiver of spillover effects. In addition, the return and volatility spillovers among the three markets have remarkable time-varying features, and they increase dramatically when extreme events occur, especially under extreme quantile conditions. Finally, we reveal the drivers of return and volatility spillovers among these markets by the OLS and quantile regression methods. The COVID-19 and the Arca Tech 100 (PSE) index are found to be important drivers.