Environmental sustainability and the time-varying changing dynamics of green and brown energy ETFs.

• We explore the heterogeneous interconnectedness and transmission of spillovers between environmentally sustainable, green, and brown ETFs. • We used the TVP-VAR-based connectedness methods in line with Stenfors et al. (2022). • We examined this relationship under different market conditions, including two periods of market turmoil. • The study results show heterogeneous connectedness among the sustainable, green, and brown ETFs in tranquil and turmoil subperiods. • Sustainable and green ETFs are the net givers, and brown ETFs are the net receivers, which is significant information for market participants. Over the last decade, increased awareness about environmental sustainability raised additional focus on green assets as a popular investment vehicle for reaching a carbon-free world. In this study, we analyze whether the dynamics of interconnectedness between ecologically sustainable, green energy, and brown ETFs have changed with the changing market conditions induced by the pandemic and a war scenario using an empirical network model based on TVP-VAR. The study findings report that sustainable and green energy ETFs are the primary givers, and brown energy ETFs are net receivers. The information transmission heightens during the first two waves of the COVID-19 pandemic, followed by a cooling phase. The results fully comprehend the effect of shifts in information transmission between environmentally sustainable, green, and brown ETFs, which aids policy-making, asset allocation, and pricing. [ABSTRACT FROM AUTHOR]