The Dynamic Linkage Among Bitcoin, Clean Energy and Stock Market: Evidence by TVP-VAR

51 This paper analyses the return and realized volatility spillovers among Bitcoin, wilder hill clean energy index 52 (ECO), S&P 500 as conventional stocks and West Texas Intermediate (WTI) from 11/11/2013 to 30/09/2021. We 53 investigate the transmission mechanism with Time-Varying Parameter Vector Auto regression (TVP-VAR). Our 54 findings indicate that stock markets such as clean energy and conventional transmit return shocks to Bitcoin and oil 55 and receive volatility shocks from Bitcoin and oil. In addition, during non-crisis periods, Bitcoin and other financial 56 markets are weakly related; but, during crisis periods, such as the great cryptocurrency crash in 2018 and the 57 coronavirus pandemic in 2020, their connection increases significantly. the comparison realized results with return among clean research expands the that analyzes the relationship between Our is close et al. Symitsi and (2018); et findings indicate


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The need of checking the role of Bitcoin started in 2016, which became highly prominent in the investment and 88 financial press. Bitcoin prices rose by more than 1300 percent in 2017, giving the entire market worth exceeding 89 USD 215 Billion and this amount reached more than one trillion dollars in 2021. Therefore, for investment and 90 policymakers' sake, it is necessary to study and evaluate the returns and volatility links between Bitcoin and other 91 asset classes. Any proof of substantial returns and volatility spillages between Bitcoin and other asset classes 92 possibly influences not just asset selection, allocation, and decision-making on risk management but also regulatory 93 measures that aim to ensure global financial system stability. It is also significant for politicians that consider   and other financial markets are weakly related; but, during crisis periods, such as the great cryptocurrency crash in 104 2018 and the coronavirus pandemic in 2020, their connection increases significantly. Furthermore, the spillover 105 effects between Bitcoin and other markets are asymmetric. Furthermore, we discovered that cryptocurrency 106 investors' environmental awareness has a considerable impact on the spillovers between cryptocurrency and green 107 investments, particularly at the times when Bitcoin prices peaked, such as in 2018 and 2021.

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The following is a breakdown of our paper's structure. Literature review is presented in section 2, the data, and

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The literature focuses primarily on studying volatility connectivity. However, this may be misleading to investors 145 because the dynamics of return and volatility frequency connectivity may differ, and both may provide significant 146 information to investors. The purpose of this research is to look at the total and frequency connectedness of Bitcoin, 147 S&P500, Clean Energy, and crude oil on both the return and volatility levels.

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The data are used on a daily basis for both the return and volatility series from 11/11/2013 until 30/09/2021. The 158 data for WTI, which assesses crude oil spot price and Bitcoin price as well as the S&P500 composite index as 159 common stocks that illustrate the overall market performance, are extracted from Investing.com. In addition, the 160 performance of clean energy is measured through the Wilder Hill CE Index (ECO) extracted from DataStream.

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In this article Volatility is calculated as the realized volatility by employing Christopher Rogers and Satchell (1991),

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In terms of risk spillover, we can conclude that Bitcoin can be safe haven on average for investors from 2013 to 224 2021 because the volatility spillover to Bitcoin is quite small and its net sender than recipient. In addition, the shocks 225 from oil and other assets do not have a significant effect on Bitcoin in this period.  March, they declare COVID-19 is Pandemic (peak level).

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The results in realized volatility do obviously illustrate six main occurrences first peak related to the oil crash which 237 oil drop to 44$ from the highest price in June 2014 with 107$ per barrel second peak related to stock market selloff 238 in August 2015 and the third peak is related to Syrian Civil War. In the following, we will refer to the fourth peak,

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Our findings suggest that stock markets such as clean energy and conventional transmit return shocks to Bitcoin and 304 oil price during this period and they received volatility shocks from Bitcoin and oil price. In addition, the results of 305 the realized volatility show well the great shocks caused by economic and political issues such as the covid-19 306 pandemic and cryptocurrencies crash during this period.

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This research extends the empirical findings on information transmission among cryptocurrencies and energy 308 markets. In summary, this study demonstrates that the volatility of Bitcoin and financial markets is greater than their 309 connection in terms of returns.

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Bitcoin has the potential to be a hedging tool against any uncertainty policy. The exploration of the primary reasons 311 for this phenomenon is left to future research. We believe our results are noteworthy and may be valuable to