IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v86y2025ipds1544612325018835.html

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612325018835
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2025.108629?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:86:y:2025:i:pd:s1544612325018835. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.