We study the effect of uncertainty in energy sector firms, as reflected in the information in the energy sector implied volatility index (VXXLE), on clean energy exchange traded funds (ETFs). Unlike the existing literature that mainly employs linear models to study the association between clean energy and financial markets, we apply the Markov regime switching process to uncover the impact of the VXXLE on clean energy ETFs during high and low volatility regimes. Our findings reveal a negative impact, suggesting that, when implied volatility levels are high for energy sector firms, a drop is likely in clean energy asset returns. The results also show evidence of an asymmetric effect. During high volatility regimes, the association between the VXXLE and clean energy ETFs holds stronger than in low volatility regimes. These results remain unchanged controlling for the effects of oil prices, crude oil volatility, and technology stock prices. We further document that changes in levels of the VXXLE substantially impact the realized volatility of clean energy ETFs. Our findings have significant implications for investors and policymakers.