ABSTRACT
This study brings some new insights into EPU risk management. By categorizing China's energy futures (CEF) investors by risk preference, investment position and investment horizon, we identify how EPU in four energy-exporting countries affects CEF investors. The Russian EPU mainly produces influence on short-run investors and risk-seeking investors. The Australian EPU affects risk-seeking investors heavily, while the Brazilian EPU acts on risk-seeking investors with short positions. In terms of China's coking coal futures, changes in Russian EPU generate the weakest impact on various types of investors, while the US EPU affects medium-run risk-averse and long-run investors. The Australian EPU's impact on investor types covers a wide range, while the Brazilian EPU affects short-run risk-averse and long-run investors. Moreover, for medium-run CEF investors, energy-exporting countries’ EPU risk characteristics is most dynamic. Changes in the EPU risk impact type mainly occurred during the US-China trade war and the outbreak of COVID-19. © 2022 Elsevier B.V.