Green finance is critical to promoting carbon neutralisation and is an essential part of the carbon emission reduction policy framework. This paper applies quantile connectedness to analyze the overall situation and dynamic evolution of information spillover in the green and grey financial markets system and the financial roles in coordinating clean and traditional fossil fuels. The results show that fossil fuel is the primary source of risk in the information network, and their fluctuations have intensified the risk spillover effects in the system. The spillover level is more prominent in extreme cases, which means the information linkage in the system is integrated. The spillover effects of each variable fluctuate with time. In addition, green assets can be treated as a risk diversifier against fossil fuel investment shocks due to the weak connectedness in the average market. The risk infection path can provide a reference for governments to prevent the risk of infection in financial markets and guide the sustainability of the green investment.