Intra- and inter-sector spillover effects within a supply chain: Evidence from Taiwan electric motorcycle industry

Yu-Fen Chen, Fu-Lai Lin and Wen-Hung Yeh

Economics Letters, 2024, vol. 240, issue C

Abstract: This study adopts a TVP-VAR based connectedness approach to investigate dynamic spillover effects of stock return in the supply chain of Taiwan's electric motorcycle. The decomposition of spillovers into intra- and inter-sector parts finds that the intra-sector connectedness is larger than the inter-sector one. Our results further suggest the midstream sector as the main transmitter of shocks as taking either intra-sector or inter-sector effects into consideration. We also find that inter-sector spillovers diminish with the echelon distance in the supply chain. The results provide insights for investors in assessing how stock returns shocks transmitted in the supply chain.

Keywords: Dynamic connectedness; TVP-VAR; Spillover decomposition; Intra- and Inter-sector connectedness; Echelon distance (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:240:y:2024:i:c:s0165176524002519

DOI: 10.1016/j.econlet.2024.111767

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