Dynamic spillover and connectedness in higher moments of European stock sector markets

Ramzi Nekhili; Walid Mensi; Xuan Vinh Vo; Sang Hoon Kang

doi:10.1016/j.ribaf.2023.102164

Dynamic spillover and connectedness in higher moments of European stock sector markets

Ramzi Nekhili, Walid Mensi, Xuan Vinh Vo, Sang Hoon Kang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

This study examines the spillovers in high-order moments (realized volatility, jumps, skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from January 2, 2013 to January 7, 2022, we show that the four sources of systemic risk, namely, volatility, jumps, skewness, and kurtosis, are transmitted from four main sectors before and during COVID-19 pandemic. Further, volatilities and jumps (bad volatility) associated with activities of the European energy and chemicals sectors that spillover shocks to other European markets are the greatest sources of systemic risk. Whereas, skewness (asymmetry) and kurtosis (fat-tail) associated with activities of the European industrial and insurance sectors that spillover shocks to other European markets are the greatest sources of systemic risk.

Original language	English
Article number	102164
Journal	Research in International Business and Finance
Volume	68
DOIs	https://doi.org/10.1016/j.ribaf.2023.102164
Publication status	Published - Jan 1 2024

Keywords

European sectors
Hedging
High frequency
High moments
Spillovers

ASJC Scopus subject areas

Business, Management and Accounting (miscellaneous)
Finance

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10.1016/j.ribaf.2023.102164

Cite this

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title = "Dynamic spillover and connectedness in higher moments of European stock sector markets",

abstract = "This study examines the spillovers in high-order moments (realized volatility, jumps, skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from January 2, 2013 to January 7, 2022, we show that the four sources of systemic risk, namely, volatility, jumps, skewness, and kurtosis, are transmitted from four main sectors before and during COVID-19 pandemic. Further, volatilities and jumps (bad volatility) associated with activities of the European energy and chemicals sectors that spillover shocks to other European markets are the greatest sources of systemic risk. Whereas, skewness (asymmetry) and kurtosis (fat-tail) associated with activities of the European industrial and insurance sectors that spillover shocks to other European markets are the greatest sources of systemic risk.",

keywords = "European sectors, Hedging, High frequency, High moments, Spillovers",

author = "Ramzi Nekhili and Walid Mensi and Vo, {Xuan Vinh} and Kang, {Sang Hoon}",

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T1 - Dynamic spillover and connectedness in higher moments of European stock sector markets

AU - Nekhili, Ramzi

AU - Mensi, Walid

AU - Vo, Xuan Vinh

AU - Kang, Sang Hoon

PY - 2024/1/1

Y1 - 2024/1/1

N2 - This study examines the spillovers in high-order moments (realized volatility, jumps, skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from January 2, 2013 to January 7, 2022, we show that the four sources of systemic risk, namely, volatility, jumps, skewness, and kurtosis, are transmitted from four main sectors before and during COVID-19 pandemic. Further, volatilities and jumps (bad volatility) associated with activities of the European energy and chemicals sectors that spillover shocks to other European markets are the greatest sources of systemic risk. Whereas, skewness (asymmetry) and kurtosis (fat-tail) associated with activities of the European industrial and insurance sectors that spillover shocks to other European markets are the greatest sources of systemic risk.

AB - This study examines the spillovers in high-order moments (realized volatility, jumps, skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from January 2, 2013 to January 7, 2022, we show that the four sources of systemic risk, namely, volatility, jumps, skewness, and kurtosis, are transmitted from four main sectors before and during COVID-19 pandemic. Further, volatilities and jumps (bad volatility) associated with activities of the European energy and chemicals sectors that spillover shocks to other European markets are the greatest sources of systemic risk. Whereas, skewness (asymmetry) and kurtosis (fat-tail) associated with activities of the European industrial and insurance sectors that spillover shocks to other European markets are the greatest sources of systemic risk.

KW - European sectors

KW - Hedging

KW - High frequency

KW - High moments

KW - Spillovers

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Dynamic spillover and connectedness in higher moments of European stock sector markets

Abstract

Keywords

ASJC Scopus subject areas

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