Asymmetry in Higher Moment Spillovers: Evidence from Sustainable and Traditional Investments

Xie He () and Shigeyuki Hamori
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Xie He: Graduate School of Economics, Kobe University

No 2316, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: This study presents a framework that breaks down kurtosis into positive and negative shocks, distinguishing between "good" and "bad" kurtosis. We analyze asymmetric kurtosis spillovers among sustainable and traditional investments. Our findings indicate that within the system encompassing sustainable and traditional investments, good kurtosis spillover generally surpasses bad kurtosis spillover in the majority of periods. However, during specific extreme events such as Brexit and COVID-19, bad kurtosis spillover takes on a dominant role.

Pages: 45 pages
Date: 2023-09
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