Electricity Market Crisis in Europe and Cross Border Price Effects: A Quantile Return Connectedness Analysis

Hung Xuan Do, Rabindra Nepal, Son Duy Pham, Tooraj Jamasb*

*Corresponding author af dette arbejde

Publikation: Working paperForskning

73 Downloads (Pure)


Despite the massive impacts of the COVID-19 pandemic and the Russia-Ukraine war on the European energy market, little is known about their effects on the transmission of risks between member states’ electricity markets and key electricity sources. In this paper, we first employ the quantile connectedness approach to quantify the return connectedness between eleven European electricity markets, natural gas, and carbon market, then examine the impacts of the two crises on the interconnectedness. We find a significant return interconnectedness of the system, mainly driven by the spillover effects among European electricity markets. An investigation of the connectedness across quantiles shows that the spillover effects are much stronger at the tails of conditional distribution and the natural gas and carbon markets are net recipients of return shocks across quantiles. More importantly, our results reveal opposite effects of the two crises on interconnectedness. While the COVID-19 pandemic reduces the interconnectedness, the Russia-Ukraine war intensifies the return shock transmission.
UdgiverCopenhagen Business School [wp]
Antal sider67
StatusUdgivet - aug. 2023
NavnWorking Paper / Department of Economics. Copenhagen Business School
NavnCSEI Working Paper


  • Natural gas
  • European emission allowance
  • Electricity markets
  • Covid-19
  • Russia-Ukraine war
  • Quantile connectedness