Dynamic Return Spillovers and Heterogeneous Responses Across Energy Equity Markets Under Demand–Supply Risks: A Mixed-Methods Analysis Using Chinese News Texts

This study adopts the TVP-VAR-DY framework to examine time-varying return spillovers within China’s energy sector equity market system. Based on textual data from major Chinese media, the Energy Demand–Supply Risk Index (EDRI) is constructed, and the GARCH-MIDAS model is applied to examine short- and long-term associations between energy demand–supply risks and dynamic return spillovers. Findings show: (1) Spillovers change over time and form a closely connected network, where new energy and electricity markets are main transmitters, while storage and traditional energy equity markets mainly receive. Storage is therefore better characterized as a systemically important buffer rather. (2) Effects differ across markets with lagged responses. Oil and natural gas react first, coal more slowly. (3) Each market’s position changes over time, while traditional fossil energy remains the primary source of fundamental demand–supply risks; new energy and electricity act as the dominant static net return transmitters in the equity market network, with traditional fuels surging into net transmitter roles specifically during crisis windows and pairwise transmission channels.