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Analyzing spillover dynamics between semiconductor and clean energy stocks: A higher-order moment approach

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  • Zeng, Hongjun
  • Abedin, Mohammad Zoynul
  • Hajek, Petr

Abstract

This paper investigates the contemporaneous, lagged, and time–frequency spillover effects between the U.S. Semiconductor Index (SOX) and Clean Energy stocks across lower and higher-order moments. Employing the GARCH-SK model, a novel R2 decomposed connectedness approach, the Wavelet Quantile Correlation (WQC) and Wavelet Local Multiple Correlation (WLMC) methods, we provide a comprehensive analysis of risk transmission. Key findings include: (1) The SOX contributes net return spillovers to Clean Energy stocks in both contemporaneous and lagged periods, while also receiving substantial spillovers. (2) Volatility spillovers between the SOX and Clean Energy stocks are the most significant, highlighting the dominant role of the SOX in higher-order moments. (3) Multiscale time–frequency correlations indicate a strong, positive correlation between SOX and Clean Energy stocks, particularly in medium and long-term frequency domains. And we find that returns and volatility exhibit strong positive correlations over the long term. These insights have significant implications for investors constructing diversified portfolios and regulatory bodies formulating risk management policies.

Suggested Citation

  • Zeng, Hongjun & Abedin, Mohammad Zoynul & Hajek, Petr, 2026. "Analyzing spillover dynamics between semiconductor and clean energy stocks: A higher-order moment approach," Research in International Business and Finance, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:riibaf:v:83:y:2026:i:c:s0275531925005136
    DOI: 10.1016/j.ribaf.2025.103257
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