Tariff Shadows: Mapping Higher-Order Moment Spillovers Across Global Equity Markets

Jinxin Cui and Aktham Maghyereh
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Jinxin Cui: School of Statistics and Data Science, Zhejiang Gongshang University, Hangzhou, China
Aktham Maghyereh: Department of Economics and Finance, United Arab Emirates University, Al Ain, United Arab Emirates

Financial Economics Letters, 2025, vol. 4, issue 2, 1-20

Abstract: This paper examines how risk spreads among G7 and BRICS stock markets, focusing not only on volatility but also on higher-order statistical moments (skewness and kurtosis). We analyze how Trump's reciprocal tariff policies affected global market connections. Using a comprehensive spillover framework, we find that different types of risk behave differently across markets. For volatility spillovers, Germany is the main source while China and Japan receive the most risk. For higher-moment risks, the U.S. and Canada spread the highest risk, with Japan and India being the primary receivers. After Trump implemented reciprocal tariffs, risk transmission across global stock markets increased sharply. Volatility spillovers showed the largest increase, but higher-moment risk transmission also rose significantly, indicating that extreme market events became more interconnected globally.

Keywords: Reciprocal Tariff; Higher-order Moment Spillovers; G7 and BRICS; Global Equity Markets (search for similar items in EconPapers)
Date: 2025
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