Asymmetric Higher-Moment spillovers between sustainable and traditional investments

Xie He and Shigeyuki Hamori

Journal of International Financial Markets, Institutions and Money, 2024, vol. 97, issue C

Abstract: This study proposes a novel framework that decomposes volatility and higher-moment kurtosis into good and bad volatility/kurtosis—related to positive and negative shocks, respectively. Accordingly, we analyze the spillover effects of good and bad volatility/kurtosis between sustainable and traditional investments separately. During most periods, bad volatility spillovers dominate good volatility spillovers, whereas good kurtosis spillovers dominate bad kurtosis spillovers. However, during specific extreme events, such as Brexit and COVID-19, bad kurtosis spillovers dominate. This study’s findings can help investors in developing extreme risk management strategies and policymakers in preventing harmful shock transmissions across markets and fostering financial stability.

Keywords: Kurtosis; Volatility; Investment; Risk management; Spillover effects (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001446

DOI: 10.1016/j.intfin.2024.102078

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