Organisers said the band, whose video "Punk Prayer" was in the running, lost out to Melbourne-based multidisciplinary artist Daniel Crooks, who won the $20,000 prize.

Pussy Riot's video was on the shortlist in the digital/video category alongside works from Chinese new media artist Yang Yongliang, Australia's Baden Pailthorpe, and Crooks.

The video contains the group's controversial protest stunt inside Moscow's Christ the Saviour cathedral in February 2012, described by the band as a denunciation of political ties between Vladimir Putin and the Russian Orthodox Church.

It led to three members being convicted on hooliganism charges and sentenced to two years in jail.

One of the three, Yekaterina Samutsevich, 31, was released in October 2012 after being given a suspended sentence.

The two others, Nadezhda Tolokonnikova, 24 and Maria Alyokhina, 25, were released last month, two months early under a Kremlin-backed amnesty ahead of the Winter Olympics.

Tolokonnikova and Alyokhina attended the ceremony in Singapore in their first trip overseas since their release.

After the ceremony at a downtown convention centre, the pair told reporters they would focus their efforts on establishing a group to protect prisoners' rights in Russia's notorious jails.

"We do have an organisation... which is an NGO to be formed to work for prisoners' rights," Alyokhina said.

Tolokonnikova added that a court in Moscow had agreed to review the circumstances of their case, and a hearing was scheduled for January 24.

"We will return to Moscow and on January 24 there will be a court trial which will review our case because the supreme court of Russia found violations in our case," she said.

"And on January 24 the Moscow regional city court will look into those allegations and understand what's happening."

On Friday the Pussy Riot members said there would be no let-up in their campaign against human rights abuses in Russia.

Journalists were not allowed inside the banquet hall in Singapore where the awards ceremony took place.

Pussy Riot's protest in 2012 came just ahead of Putin's re-election to the Kremlin in March that year. Video footage of the stunt uploaded online was later banned in Russia.

A statement by the organisers of the awards for emerging Asian artists described Pussy Riot as a "feminist art collective".

It said that Pussy Riot were nominated "for their performances described as 'oppositional art' including their world notorious Punk Prayer".