Higher-order moment risk spillovers across various financial and commodity markets: Insights from the Israeli-Palestinian conflict

被引：12
|
作者：
Cui, Jinxin [1 ,2 ]
Maghyereh, Aktham [3 ]
机构：
[1] Zhejiang Gongshang Univ, Collaborat Innovat Ctr Stat Data Engn Technol & Ap, Hangzhou 310018, Peoples R China
[2] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Peoples R China
[3] United Arab Emirates Univ, Dept Accounting & Finance, Dubai, U Arab Emirates
来源：
FINANCE RESEARCH LETTERS | 2024年 / 59卷
关键词：
Geopolitical risks; Higher-order moments; Risk spillovers; TVP-VAR extended joint connectedness; Israeli -Palestinian conflict;
D O I：
10.1016/j.frl.2023.104832
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We utilize the TVP-VAR extended joint connectedness approach to analyze higher-order moment risk spillovers among oil, natural gas, gold, and the stock markets in Palestine and Israel. We find that the outbreak of the Israeli-Palestinian conflict in October 2023 has greatly intensified the total spillovers of volatility as well as higher-order moment risks. The sharp rise triggered by this geopolitical event is significantly higher than that following the Russia-Ukraine war. The connectedness results vary with time and moments, notably with the total volatility connectedness surpassing that of skewness and kurtosis. These insights hold practical implications for diverse stakeholders.
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页数：14
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