As emerging and transitional economies navigate an increasingly complex global landscape, the traditional mechanisms of risk propagation undergo profound transformations. This study investigates the risk contagion structure among Russia’s main stock index (MOEX), geopolitical risk (GPR), US-China tensions (UCT), the ruble exchange rate, and Brent oil prices using monthly data from January 1999 to February 2024. We employ the recently developed Quantile-on-Quantile Connectedness Analysis (QQCA) proposed by Gabauer and Stenfors (2024), which allows us to capture asymmetric and regime dependent spillovers across the entire joint distribution. The results reveal that connectedness intensifies sharply under extreme market conditions, with risk contagion peaking in the lower and upper tails (5th and 95th quantiles) and remaining comparatively weaker during normal periods. Geopolitical risk emerges as a dominant shock transmitter during high-risk regimes, whereas Brent oil prices and MOEX occupy structurally central positions in the system through energy and capital flow channels. In contrast, the ruble and the VIX predominantly function as shock absorbers, mitigating systemic fluctuations in most market states. These findings highlight the nonlinear and state dependent nature of financial vulnerability in energy dependent and geopolitically exposed economies. The study offers novel evidence on the systemic role of Russia within a multidimensional risk network and provides actionable implications for policymakers and investors concerned with financial stability and tail-risk management.
