The increasing institutional participation and deepening integration of physical trading and financial operations in commodity markets have elevated the interconnectedness of energy futures and equity markets to prominence in both scholarly discourse and industry analysis. Employing the Nelson-Siegel framework and Fama-French factor model, this study examines the dynamic relationships between energy futures holding cost variations and equity returns across coal and oil sectors. Our analysis yields three principal findings: First, the Fama-French three-factor model exhibits robust explanatory power in China's energy sector equity market, revealing significant statistical relationships between holding cost curve parameters—level, slope, and curvature—and industry excess returns. Second, holding cost variations manifest substantial heterogeneity in their impact on stock returns across coal and oil sectors. Third, carrying cost components demonstrate dominance over shock transmission effects in explaining industry stock return volatility, indicating complex, asymmetric interaction mechanisms between futures and equity markets. Drawing from these empirical results, we advance targeted policy prescriptions addressing futures market architecture and financial stability.