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Previous studies point to the time-variation and asymmetry in the relationship between clean energy stocks and crude oil markets, but there is a lack of evidence on the return spillovers between clean/green assets and dirty energy assets (crude oil and energy ETF) in lower and upper quantiles, and their potential drivers. To address these gaps, we apply quantile-based estimators to measure return connectedness at left and right tails of the conditional distribution of return shocks. We find that the average level of return connectedness estimated at the mean/median is 29%, whereas it reaches 65% when estimated at the left and right tails. Thus, return connectedness across clean energy stocks, green bonds, crude oil, and energy ETF is larger at both left and right tails, implying that the unsuitability of applying mean-based connectedness measures. Furthermore, we show that return connectedness measures vary …