Interconnectedness and determinants of sectoral stock markets in China: Insights from higher-order moment contagion analysis

Yang Gao, Jiawen Cao, Wandi Zhao and Mengwan Zhang

Economic Analysis and Policy, 2025, vol. 87, issue C, 831-859

Abstract: With the acceleration of global economic integration and industrial convergence, cross-market risk contagion has become a pressing risk management concern. In particular, extreme risk events have become more prevalent in markets, potentially triggering the contagion of higher-order moment risks. Based on the Chinese stock sector indices, this study empirically examines higher-order moment risk spillovers in the time and frequency domains and investigates their influencing factors and cluster structure. The findings reveal that inter-sector higher-order moment risk spillovers demonstrate pronounced time-varying traits that are predominantly influenced by high-frequency effects. Moreover, a distinct two-cluster structure is evident in the transmission of higher-order moment risks among the sectors. Finally, the climate physical risk, climate transition risk, investor sentiment, Chinese economic policy uncertainty, and consumer price index significantly impact the inter-sector higher-order moment risk spillovers. The manifestations of these impacts display heterogeneity under low and high frequencies. This study enriches the cross-sectoral risk contagion analysis in the Chinese stock market from a higher-order moment perspective and provides an essential reference for investors and regulators.

Keywords: Higher-order moments; Risk spillover; Sectoral stock markets; Network cluster identification (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:87:y:2025:i:c:p:831-859

DOI: 10.1016/j.eap.2025.06.038

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