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<p>The dual shocks of COVID-19 (demand shock) and the Ukraine-Russia war (oil supply shock) had differential effects on the stability of non-renewable (NRE) and renewable (RE) energy markets in different economies. While these crises have been simultaneous and even overlapping, financial studies have not captured the combined effects on energy transition investments, specifically for Asia. This paper conducts a temporal and disaggregated inspection on the Asian markets of China, India, Japan, South Korea and Malaysia, to uncover the horizon and timeline of volatility and stability in the RE and NRE indices with critical macro-indicators. The novelty lies in uncovering simultaneous risk transmissions and hedging stability of RE/NRE with gold, copper, oil, natural gas and stock indices, utilizing the time-frequency wavelet coherence phase-space. Moreover, this study provides a comparative perspective of economically stable and volatile periods by using daily market data from January 2019 to September 2023. This study contributes to energy market economics through four key research questions: (1) Markets without oil purchasing diversity, experience significantly pronounced spillovers to NRE than countries with purchasing diversity; (2) Natural Gas offers a stable risk-hedge to NRE and Copper to RE during supply shocks; (3) Less mature and non-liberalized Asian energy markets have significant spillover from stock market to energy equities during the dual shocks; and (4) Gold serves as a long-run hedge for RE and NRE only in mature energy markets, emphasizing policy gaps in less mature energy economies. This study further offers a set of policy implications including financial instrument interventions, supply chain reconfigurations and energy diversification prospects.</p>

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Time-frequency Risk-aversion for Asian Energy Indices Hedged with Financial Markets During Dual Shocks

  • 期刊论文

  • 发表日期：

    2026年4月10日

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  • Soumya Basu,
  • Hideyuki Okumura,
  • Pawel Brusilo

摘要

The dual shocks of COVID-19 (demand shock) and the Ukraine-Russia war (oil supply shock) had differential effects on the stability of non-renewable (NRE) and renewable (RE) energy markets in different economies. While these crises have been simultaneous and even overlapping, financial studies have not captured the combined effects on energy transition investments, specifically for Asia. This paper conducts a temporal and disaggregated inspection on the Asian markets of China, India, Japan, South Korea and Malaysia, to uncover the horizon and timeline of volatility and stability in the RE and NRE indices with critical macro-indicators. The novelty lies in uncovering simultaneous risk transmissions and hedging stability of RE/NRE with gold, copper, oil, natural gas and stock indices, utilizing the time-frequency wavelet coherence phase-space. Moreover, this study provides a comparative perspective of economically stable and volatile periods by using daily market data from January 2019 to September 2023. This study contributes to energy market economics through four key research questions: (1) Markets without oil purchasing diversity, experience significantly pronounced spillovers to NRE than countries with purchasing diversity; (2) Natural Gas offers a stable risk-hedge to NRE and Copper to RE during supply shocks; (3) Less mature and non-liberalized Asian energy markets have significant spillover from stock market to energy equities during the dual shocks; and (4) Gold serves as a long-run hedge for RE and NRE only in mature energy markets, emphasizing policy gaps in less mature energy economies. This study further offers a set of policy implications including financial instrument interventions, supply chain reconfigurations and energy diversification prospects.