Dynamic spillover and connectedness in higher moments of European stock sector markets

Ramzi Nekhili, Walid Mensi, Xuan Vinh Vo and Sang Hoon Kang

Research in International Business and Finance, 2024, vol. 68, issue C

Abstract: This study examines the spillovers in high-order moments (realized volatility, jumps, skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from January 2, 2013 to January 7, 2022, we show that the four sources of systemic risk, namely, volatility, jumps, skewness, and kurtosis, are transmitted from four main sectors before and during COVID-19 pandemic. Further, volatilities and jumps (bad volatility) associated with activities of the European energy and chemicals sectors that spillover shocks to other European markets are the greatest sources of systemic risk. Whereas, skewness (asymmetry) and kurtosis (fat-tail) associated with activities of the European industrial and insurance sectors that spillover shocks to other European markets are the greatest sources of systemic risk.

Keywords: European sectors; Spillovers; High moments; High frequency; Hedging (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923002908

DOI: 10.1016/j.ribaf.2023.102164

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