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

Jinxin Cui and Aktham Maghyereh

Finance Research Letters, 2024, vol. 59, issue C

Abstract: 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.

Keywords: Geopolitical risks; Higher-order moments; Risk spillovers; TVP-VAR extended joint connectedness; Israeli–Palestinian conflict (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012047

DOI: 10.1016/j.frl.2023.104832

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