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

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. • Russia–Ukraine conflict impacts China’s energy market differently in its two stages. • Russia–Ukraine conflict caused strongest impact and asymmetric leverage in China’s gas market. • China’s coal market underpins energy security amid external shocks. • Supported by policies and environment, new energy plays the role of risk receiver in China’s energy market.