Risk Spillovers Among Conventional Energy, New Energy Subsectors, ESG Assets and Gold: A Quantile Time–Frequency Connectedness Network Approach

Geopolitical conflicts and the energy transition complicate risk linkages among conventional energy, new energy, ESG assets and gold. Using quantile time–frequency connectedness and complex network analysis, this study examines an ESG index, coal and natural gas equity indices, five new energy subsector indices, an aggregate new energy index and a gold ETF across market states and horizons. Under normal conditions, wind power, photovoltaics, natural gas and new energy vehicles are net transmitters, while the remaining markets are net receivers. Total spillovers rise sharply under extreme conditions, and short-term spillovers dominate across market states. Static estimates show stable transmission roles for photovoltaics, wind power, natural gas and gold across quantiles and frequency bands, alongside conditional switching in other markets. Dynamic estimates reveal additional variation over time. The Russia–Ukraine conflict is associated with a sustained increase in long-term connectedness, whereas COVID-19 primarily coincides with short-term volatility pulses. Network analysis identifies coal as a central node and photovoltaics as a major transmission hub within new energy. These findings inform market-state- and horizon-specific risk monitoring, asset allocation and crisis responses.