Deciphering asymmetric spillovers in US industries: Insights from higher-order moments

Muhammad Shafiullah, Arunachalam Senthilkumar, Brian Lucey and Muhammad Abubakr Naeem

Research in International Business and Finance, 2024, vol. 70, issue PA

Abstract: Incorporating higher-order moments, like realized volatility, skewness, and kurtosis, is crucial for understanding asymmetric asset pricing trends. Our research rigorously calculates static and dynamic higher-order moment spillovers across nine distinct US industries, using ultra-high-frequency data. We dive into the complex factors driving these spillovers, examining micro and macro-level factors. Our findings illuminate how higher-order moments are transmitted among these industries, particularly during disruptive global events with time-varying patterns. Notably, we discover that crash risk's persistence surpasses that of volatility risk, highlighting a significant divergence in market agents' asset pricing mechanisms. Importantly, firm-level risk factors significantly influence crash risk, showing an inverse relationship with industry-specific uncertainty. On the other hand, external macro-level risk factors directly impact the realized volatility of these industries. Our study's insights have substantial implications for various stakeholders, including investors, fund managers, policymakers, and financial regulators.

Keywords: Realized volatility; Realized skewness; Realized kurtosis; Higher moment-order transmission; Disruptive global events (search for similar items in EconPapers)
JEL-codes: F4 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065

DOI: 10.1016/j.ribaf.2024.102313

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