Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets

We analyze return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in connection to the US sectoral stock market returns, and the volatility connections are even more common than the return connections. Furthermore, some financial and economic uncertainty indicators manifest positive impacts from the volatility of some ‘big pond’ markets for e.g. commodities, whereas some others affect the connectedness negatively. Additional analysis of financial and economic uncertainty indicators manifests positive impacts from the volatility of some ‘big pond’ markets, e.g., commodities, while others negatively affect the connectedness. •There are some return and volatility connections between green stock markets, US sectors and commodities.•Strong intragroup connectedness especially in sectoral US stock markets•Weak intergroup connectedness among the three markets implies good hedging possibilities.•Some individual commodity markets affect the green finance stocks but not the US sectors generally.•Some general uncertainty measures affect both the return and volatility connectedness between green and conventional markets.