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Dynamic spillover and connectedness in higher moments of European stock sector markets

Author

Listed:
  • Nekhili, Ramzi
  • Mensi, Walid
  • Vo, Xuan Vinh
  • Kang, Sang Hoon

Abstract

This study examines the spillovers in high-order moments (realized volatility, jumps, skewness, and kurtosis) among European stock sectoral indices. Using 5-minute data from January 2, 2013 to January 7, 2022, we show that the four sources of systemic risk, namely, volatility, jumps, skewness, and kurtosis, are transmitted from four main sectors before and during COVID-19 pandemic. Further, volatilities and jumps (bad volatility) associated with activities of the European energy and chemicals sectors that spillover shocks to other European markets are the greatest sources of systemic risk. Whereas, skewness (asymmetry) and kurtosis (fat-tail) associated with activities of the European industrial and insurance sectors that spillover shocks to other European markets are the greatest sources of systemic risk.

Suggested Citation

  • Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillover and connectedness in higher moments of European stock sector markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923002908
    DOI: 10.1016/j.ribaf.2023.102164
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    More about this item

    Keywords

    European sectors; Spillovers; High moments; High frequency; Hedging;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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