Interconnectedness and determinants of sectoral stock markets in China: Insights from higher-order moment contagion analysis

With the acceleration of global economic integration and industrial convergence, cross-market risk contagion has become a pressing risk management concern. In particular, extreme risk events have become more prevalent in markets, potentially triggering the contagion of higher-order moment risks. Based on the Chinese stock sector indices, this study empirically examines higher-order moment risk spillovers in the time and frequency domains and investigates their influencing factors and cluster structure. The findings reveal that inter-sector higher-order moment risk spillovers demonstrate pronounced time-varying traits that are predominantly influenced by high-frequency effects. Moreover, a distinct two-cluster structure is evident in the transmission of higher-order moment risks among the sectors. Finally, the climate physical risk, climate transition risk, investor sentiment, Chinese economic policy uncertainty, and consumer price index significantly impact the inter-sector higher-order moment risk spillovers. The manifestations of these impacts display heterogeneity under low and high frequencies. This study enriches the cross-sectoral risk contagion analysis in the Chinese stock market from a higher-order moment perspective and provides an essential reference for investors and regulators.