Cross-market geopolitical risk spillover: Evidence from energy companies in G20 countries
Document Type
Research-Article
Journal Name
Energy Economics
Keywords
Energy companies, Energy markets, Geopolitical risk, Mimicking portfolio, Risk contagion
Abstract
AbstractThis study investigates the impact of geopolitical risk (GPR) on 2652 energy company stocks within G20 countries and the dynamic spillovers of GPR across different markets. We gauge energy companies' exposure to GPR using quantile regression and construct mimicking portfolios to capture country-level market responses. We then construct connectedness networks to measure the dynamic spillovers of GPR in stock returns and volatility across different markets. The results show that GPR exerts a more extensive impact on energy companies at lower quantiles. In the return connectedness network, energy companies from the United Kingdom, France, Germany, and Italy are primary net transmitters, while Russia, Turkey and Australia emerge as primary net receivers. In the volatility connectedness network, Russia and the United States act as the largest net transmitters, with China, Japan, India and South Korea being the main net receivers. Our study provides a systematic framework for detecting dynamic geopolitical shocks in energy markets and tracing their contagion across global markets. © 2026 Elsevier B.V. All rights are reserved, including those for text and data mining, AI training, and similar technologies.