Price risk transfer from futures to spot prices in energy commodities: measuring the effects of the Covid-19 pandemic and of the Russo–Ukrainian conflict

Purpose The purpose of this paper is to measure price risk transfer from futures prices to spot prices in the markets of energy commodities. Design/methodology/approach To this end, it estimates CoVaR functions for five futures-spot prices pairs of energy commodities. To account for the effects of the Covid-19 pandemic as well as for the effects of the Russo−Ukrainian conflict, the total sample has been split into three sub-samples. The first one contains observations from 01/01/2010–3/11/2020, which marks the official declaration of the coronavirus as a global pandemic. The second sub-sample uses observations from 3/12/2020–2/24/2022, which marks the beginning of the Russo−Ukrainian conflict, and the third one includes observations from 2/25/2022 up to 8/31/2023. Findings Results indicate that the effect of the coronavirus pandemic was to increase the risk of price transfer from futures markets to spot markets, in all of the energy commodities examined. On the other hand, the effect of the escalation of the Russo−Ukrainian conflict was to significantly reduce the price risk transfer from the futures markets to the spot markets, in all five energy commodities. Originality/value To the best of the authors’ knowledge, this is the first study to use CoVaR functions to estimate risk transfer among the energy commodities. In addition, it separates and estimates the effects of the Covid-19 pandemic as well as the effects of the Russo−Ukrainian conflict.