Energy price uncertainty and sectoral tail risk: Evidence from quantile-on-quantile connectedness

As the Chinese market increasingly becomes dependent on uncertainties in coal and oil prices, this paper examines the implications for financial markets and the transmission of tail risk across various industries. Employing a generalized quantile connectedness network model, we analyze the impact of coal price uncertainty (CPU) and international oil price uncertainty (OPU) on the volatility of Chinese sectoral stock markets during the period from 2016 to 2025. The study yields the following key conclusions: (1) In the context of “directly related” tail states, systemic risk spillover is most pronounced; (2) The net risk spillover from CPU and OPU primarily occurs under conditions of “high uncertainty + high market pressure,” demonstrating a significant complementary mechanism among the energy market, financial market, and industrial sector; (3) In periods of heightened volatility, CPU and OPU emerge as critical nodes within a highly interconnected network; (4) When faced with supply-side external shocks, the risk spillover effects associated with energy price uncertainty are notably amplified. Based on these findings, this paper proposes targeted policy recommendations.