The intricate financial relationships among crude oil prices, carbon emission rights, and new energy stocks warrant thorough investigation, as fossil fuel consumption, carbon emissions, and the development of new energy are fundamental pillars of global environmental sustainability. This article combines quantile regression with the TVP‐vector autoregressive (VAR) model, extending it to the frequency domain, to systematically analyze the spillover effects among the carbon emission market, crude oil spot prices, and the new energy stock market, with a particular focus on the internal spillovers across the upstream, midstream, and downstream sectors of the new energy market itself, from March 12, 2018, to April 9, 2024, under both normal (median quantile) and extreme market conditions. The findings reveal that, under normal market conditions, the new energy market primarily acts as an information transmitter. In contrast, during extreme market conditions, spillover effects intensify, with stronger right‐tail asymmetry than left‐tail. The dynamic analysis shows that spillover effects vary overtime, particularly during major exogenous shocks. Additionally, total, net, and pairwise spillovers are concentrated in the short‐term frequency (within 1 week), indicating the rapid transmission of information. Furthermore, under extreme conditions, the upstream new energy sector consistently serves as the information sender in both time and frequency dimensions, while the crude oil market (Dtd) remains the primary information receiver. The carbon market (WEA) also transmits information, but with lower intensity. Most importantly, the downstream new energy vehicle (NEV) market dominates as the net information transmitter under both normal and extreme conditions, in both temporal and frequency domains. These findings offer novel insights into the structural evolution of information transmission mechanisms in the ongoing global transition to a low‐carbon economy.
Li et al. (Thu,) studied this question.