Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear

Mohamad Husam Helmi, Jinxin Cui, Ahmed H. Elsayed and Mohammad Enamul Hoque

Research in International Business and Finance, 2025, vol. 77, issue PA

Abstract: This study examines higher-order and cross-moment spillovers across MENA stock markets. Our unique framework integrates the ACD model with the TVP-VAR extended joint connectedness approach. We also analyze how geopolitical risks and global fear predict and influence both identical and cross-moment spillovers. Our findings show stronger total volatility spillovers among MENA stock markets compared to skewness and kurtosis spillovers. Cross-moment spillovers are more pronounced than those in the CS and CK measures, with the CV-CK pair showing the strongest effects. VIX and GPR are found to Granger cause total spillovers in both identical and cross-moment measures during specific periods.

Keywords: Higher-order moment; Cross-moment spillovers; MENA stock markets; GPR; VIX (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001412

DOI: 10.1016/j.ribaf.2025.102885

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