Is volatility spillover enough for investor decisions? A new viewpoint from higher moments

Xie He and Shigeyuki Hamori

Journal of International Money and Finance, 2021, vol. 116, issue C

Abstract: This paper provides a new viewpoint on the time and frequency dynamics of the spillover effects among eight major world equity market indexes. We extend the Diebold–Yilmaz approach and the Barunilk and Krehik methodology to estimate and measure the skewness spillover. Our empirical results indicate that the total skewness spillover is far smaller than the total volatility spillover among all markets. Although both volatility spillover and skewness spillover vary with time, the skewness remains relatively smooth and varies gradually when extreme events occur, while the total volatility spillover changes more rapidly and dramatically. Moreover, we observed that most skewness spillover is generated in the short term (1–5 days), while most volatility spillover is produced over the long term (over 21 days).

Keywords: Higher moments; Conditional skewness; Conditional volatility; Spillover effect (search for similar items in EconPapers)
JEL-codes: C32 F3 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:116:y:2021:i:c:s0261560621000632

DOI: 10.1016/j.jimonfin.2021.102412

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