TY - JOUR
T1 - Higher-order moment connectedness between stock and commodity markets and portfolio management
AU - Mensi, Walid
AU - Ko, Hee Un
AU - Sensoy, Ahmet
AU - Kang, Sang Hoon
N1 - Publisher Copyright:
© 2024 Elsevier Ltd
PY - 2024/2/1
Y1 - 2024/2/1
N2 - This study examines the spillover in high-order moments for major stock markets in Europe, Japan, the UK, and the US (STOXX50, FTSE100, SP500, and NIKKEI225), and two representative commodities (Brent crude oil and gold futures) using 5-min data from January 1, 2020, to May 31, 2022. The results show that spillovers vary across order moments, which are larger for realized volatility and jumps than for realized skewness and kurtosis. Moreover, gold is a net receiver of spillovers for all order moments, whereas oil switches from a net receiver of spillovers under both realized volatility and jumps to a net transmitter of spillovers in realized skewness and kurtosis spillovers. The US stock market is a net transmitter of spillovers in all realized moments, whereas other stock markets shift from net receivers to net contributors based on the moments. Furthermore, spillovers in high-order moments vary over time, and their trends behave differently over time. The spillovers in high-order moments increase during different phases of the COVID-19 and Ukraine-Russia wars. These findings have significant implications for fund allocations and financial risk management.
AB - This study examines the spillover in high-order moments for major stock markets in Europe, Japan, the UK, and the US (STOXX50, FTSE100, SP500, and NIKKEI225), and two representative commodities (Brent crude oil and gold futures) using 5-min data from January 1, 2020, to May 31, 2022. The results show that spillovers vary across order moments, which are larger for realized volatility and jumps than for realized skewness and kurtosis. Moreover, gold is a net receiver of spillovers for all order moments, whereas oil switches from a net receiver of spillovers under both realized volatility and jumps to a net transmitter of spillovers in realized skewness and kurtosis spillovers. The US stock market is a net transmitter of spillovers in all realized moments, whereas other stock markets shift from net receivers to net contributors based on the moments. Furthermore, spillovers in high-order moments vary over time, and their trends behave differently over time. The spillovers in high-order moments increase during different phases of the COVID-19 and Ukraine-Russia wars. These findings have significant implications for fund allocations and financial risk management.
KW - Commodity markets
KW - High-order moments
KW - Jumps
KW - Realized kurtosis
KW - Realized skewness
KW - Realized volatility
KW - stock markets
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UR - https://www.mendeley.com/catalogue/178016cb-d90b-3a17-b05a-4bc466b37a6b/
U2 - 10.1016/j.resourpol.2024.104647
DO - 10.1016/j.resourpol.2024.104647
M3 - Article
AN - SCOPUS:85182731022
SN - 0301-4207
VL - 89
JO - Resources Policy
JF - Resources Policy
M1 - 104647
ER -