Dynamic Risk Connectedness Across Electricity, Carbon, and Fossil Fuel Markets: Asymmetric Shock Responses in Representative Chinese and European Markets

Stable interactions among electricity, carbon allowance, and fossil fuel markets are essential for sustainable energy transition, because excessive cross-market risk transmission may affect energy affordability, carbon-price credibility, and low-carbon investment signals. This study provides comparative evidence on dynamic connectedness, tail-state shock responses, and return-based complexity in representative Chinese and European benchmark markets. Using daily market data from the Wind database for November 2021–January 2026, the empirical framework combines time-varying parameter vector autoregression (TVP-VAR), quantile vector autoregression and quantile impulse response functions (QVAR/QIRFs), and rolling multifractal detrended fluctuation analysis (MFDFA). The results show that the European benchmark system has a higher absolute connectedness level than the Chinese benchmark system: the full-sample mean total connectedness index (TCI) is 18.75 in Europe and 5.63 in China, while the crisis-period mean TCIs are 25.19 and 12.12, respectively. Post-peak adjustment depends on the reversion metric used: China shows a faster initial half-life decline from the crisis peak, whereas reversion to lower region-specific connectedness thresholds depends on the selected benchmark. Natural-gas-shock QIRFs indicate stronger upper-tail persistence in Europe, whereas China is characterized mainly by short-run directional divergence; supplementary coal-, oil-, and carbon-shock checks show that response patterns are shock-source-dependent. Electricity-return multifractal spectrum width (MFW) does not show stable full-sample explanatory power for TCI, but it provides stage-dependent auxiliary diagnostic information. These findings provide a comparative diagnostic framework for monitoring cross-market systemic risk and supporting sustainability-oriented energy-market governance under low-carbon transition.