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Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets

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  • Cui, Jinxin
  • Alshater, Muneer M.
  • Mensi, Walid

Abstract

Investigating the dynamic interdependencies and risk connectedness in global oil markets is paramount for investors and regulatory bodies. Nevertheless, prevailing research has predominantly focused on the examination of lower-order moments, thereby imposing limitations on the extent of inquiry. This paper undertakes an analysis of higher-order moment risk spillovers in global oil markets employing the innovative time-varying parameter vector autoregression (TVP-VAR) extended joint connectedness approach. Moreover, this study pioneers the construction of minimum connectedness portfolio strategies encompassing oil markets worldwide, incorporating the outcomes of higher-order moment risk connectedness into multivariate portfolio construction. Our empirical investigation unequivocally highlights the ascendance of OPEC oil as the preeminent net transmitter of connectedness across all moments, reinforcing its pivotal role in the transmission of risk. Furthermore, our findings disclose significant heterogeneity in the connectedness outcomes, with discernible variations across diverse moment orders. Remarkably, the oil benchmarks of WTI and Brent undergo a discernible transformation, transitioning into net recipients when subjected to higher-order moment risk spillovers. Additionally, the dynamics of equicorrelations, pairwise correlations, as well as the time-varying total, net, and net-pairwise connectedness indices, exhibit a high degree of responsiveness to major crisis events. Finally, the incorporation of higher-order moment risk spillovers into oil portfolio strategies manifests enhanced efficacy in risk management. The policy implications derived from our findings bear practical significance for an array of stakeholders, including cross-market investors, portfolio managers, regulatory entities, and policymakers.

Suggested Citation

  • Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    • Handle: RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972
    DOI: 10.1016/j.resourpol.2023.104286
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    Keywords

    Global oil markets; Higher-order moment risks; Minimum connectedness portfolio; Risk connectedness; TVP-VAR extended joint connectedness;
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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