How do uncertainties affect spillover between climate investment and traditional energy markets?

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In recent years, climate investment markets have experienced a significant expansion and a growing integration with the traditional energy markets due to increasing concern regarding climate change. This paper examines the risk spillover between climate investment and traditional energy markets in different time-frequency domains and then explores how do various global uncertainties affect the risk spillovers. The results indicate that total spillover between climate investment and traditional energy markets increases with the investment cycle lengthens. Furthermore, the impacts of various global uncertainties on the spillover exhibit dynamic changes at differenttime-frequency domains. Market uncertainties such as VlX and VOX have higher impacts in short-term while geopolitical uncertainty has a higher long-term impact. Climate-related uncertainties also demonstrate pronounced impacts in certain periods.