Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change

We explore the time-frequency spillovers among carbon, fossil energy and clean energy markets, and consider the casual effects of climate change attention. The spillover effects among carbon, fossil energy and clean energy markets are time-varying. Carbon market is a net receiver of spillovers from the oil market and clean energy markets in the short term, but it becomes a net transmitter of spillovers to the coal and gas markets in the long term. Our marginal spillover effects analysis suggests that the COVID-19 pandemic has increased cross-market risk contagion in the long term and that carbon market bears larger input risks. Investors' attention to climate change has significant causal effects on the spillovers, and the causal impact of climate change attention on total spillover has significantly increased during the COVID-19 pandemic. Our findings provide important guidelines for investment in environmental protection and demonstrate the importance of formulating differentiated policies for environmental protection in different time horizons.