This thesis primarily aims at analysing the dynamic connectedness of clean energy stocks and other financial markets such as cryptocurrency, Technology, Crude oil, and Stock markets. To this end, this thesis is divided into two different sections. Firstly, we investigate the connectedness of renewable energy, common stock, oil, and technology markets, using monthly data from September 2004 to February 2020. The time-domain Diebold and Yilmaz spillover index approach is used to analyse the volatility spillover between these four markets. The study's findings reveal that the oil and clean energy markets have bidirectional volatility spillover. The oil market has been found to be a net receiver of volatility. Furthermore, the study shows that volatility spillover is stronger in extremely positive and negative shock times than in medium shock periods. In addition, our findings show that during crisis periods, the volatility spillover index rises, while total connection reached its lowest point in 2015. Our findings suggest that policymakers should be informed that, as long as oil prices remain low, alternative energy-producing industries will not require specific policies to mitigate their vulnerability to crude oil price shocks. Secondly, we investigate the connectedness among clean energy, Bitcoin, the stock market, and crude oil empirically. The high-energy consumption of cryptocurrency transactions has raised concerns about the environment and sustainability among green investors and regulatory authorities. The time-varying parameter vector autoregression (TVP-VAR) is used to estimate the dynamics of connectedness in a daily dataset spanning the period November 11, 2013, to September 30, 2021. We find that the clean energy and traditional stock markets transmit shocks to Bitcoin and oil in terms of return, and they receive shocks in terms of volatility from Bitcoin and oil. Additionally, Bitcoin and other financial markets are only tenuously linked during non-crisis periods. Nonetheless, their connection strengthens substantially during times of crisis, such as the great cryptocurrency crash of 2018 and the COVID-19 pandemic of 2020. We believe that these findings can help explain how clean energy and cryptocurrency markets are linked during times of crisis.