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Risk spillovers across energy markets: Insights from the Russia–Ukraine conflict

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  • Cai, Yanli
  • Chen, Chuzhe
  • Yu, Jin
  • Qian, Zhiyong

Abstract

This study investigates the impact of the Russia–Ukraine conflict on risk transmission dynamics within China’s energy subsector stocks. Risk spillovers are quantified using the Diebold and Yilmaz index model, while the GARCH and TVP-VAR models are employed to identify systematically important energy stocks and the shortest transmission paths. The findings reveal that the conflict, coupled with heightened geopolitical uncertainty, has significantly intensified interdependencies among energy markets. Notably, the key energy stocks in terms of volatility correlations undergo substantial shifts during the conflict. Traditionally, coal has served as the primary hub of risk contagion; however, during the conflict, natural gas emerges as a pivotal node within the system. This paper underscores the critical importance of fostering the healthy development of energy markets and enhancing risk prevention strategies to mitigate the adverse effects of geopolitical disruptions.

Suggested Citation

  • Cai, Yanli & Chen, Chuzhe & Yu, Jin & Qian, Zhiyong, 2025. "Risk spillovers across energy markets: Insights from the Russia–Ukraine conflict," Finance Research Letters, Elsevier, vol. 86(PD).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pd:s1544612325018835
    DOI: 10.1016/j.frl.2025.108629
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