Systemic Financial Risk Spillover Between Traditional-Energy and New-Energy Markets: A Quantile Time–Frequency Network with Link Prediction
Year: 2026
Type: article
Abstract: Energy transition is central to both economic development and climate-change mitigation and has become a shared global challenge. Given the close relationship between conventional energy prices and the development of the new-energy industry, this study investigates systemic risk spillovers among three crude-oil futures, two natural-gas futures, and five Chinese new-energy sector indices. We employ a quantile time-frequency-connectedness framework and an out-of-sample-validated link-prediction model to assess both realized spillovers and potential changes in the network structure. The results reveal that network connectedness is time-varying and asymmetric across quantiles, with short-horizon connectedness accounting for the majority of average system-wide connectedness. Overall connectedness also increases markedly during major crisis episodes. INE crude-oil futures and both natural-gas futures are net receivers of shocks, whereas WTI and Brent crude-oil futures consistently act as net transmitters, with Brent playing the dominant role under extreme market conditions. As the investment horizon lengthens, the solar sector shifts from a net risk receiver to a net risk transmitter. In the predicted network, the solar sector emerges as the market most likely to initiate new short-term spillover links. This finding reflects a prospective, model-implied tendency rather than a causal relationship. These findings offer useful implications for energy market policy, portfolio risk management, and investment decisions involving new-energy companies.
DOI: 10.3390/ijfs14090242
Authors: Wenxuan Jin, Di Yuan, Peilin Wang, Sufang Li
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,172
Awards: G3218237575, G5637484051
OpenAlex ID: W7212083094