Risk spillovers across energy markets: Insights from the Russia-Ukraine conflict

The data is sourced from Tongdaxin(https://www.tdx.com.cn/data_center.html) and Wind(https://www.wind.com.cn/) databases, with the daily index closing prices serving as the raw data. The data covers the time span from January 1, 2020, to June 30, 2024. Considering the potential inconsistencies in the timing of the data points, the method of taking the intersection of time periods was employed, resulting in a final dataset size of 1079 for each variable.