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Higher-order moments spillovers among energy, carbon and tourism markets: Time- and frequency-domain evidence

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  • Wang Gao
  • Shixiong Yang

Abstract

This paper uses the GJRSK model to estimate the high-order moments of energy (oil, natural gas, and coal), the carbon market, and tourism stocks. Then, it utilizes a novel TVP-VAR time-frequency connectedness approach to examine higher-order moments spillovers among them. The results show a strong connectedness among the three markets. The energy market is the emitter of volatility, skewness and kurtosis spillovers; tourism stock is the receiver; and the carbon market is the transmitter. From a time-domain perspective, the higher-order moments spillovers of the three markets are time-varying, especially during extreme periods, where the energy market’s spillover effects on tourism stocks are significantly enhanced, indicating that tourism stocks bear a greater risk at leptokurtosis and fat-tail moment. From a frequency-domain perspective, the long-term asymmetric spillovers of oil, natural gas, and tourism markets on the carbon market are more pronounced than the short-term. Moreover, the COVID-19 pandemic exacerbated the higher-moment spillovers of energy and tourism stocks on the carbon market. Meanwhile, the Russia-Ukraine conflict led to extreme risk transmission within the energy market. These findings have significant implications for cross-industry investors and green finance risk management.

Suggested Citation

  • Wang Gao & Shixiong Yang, 2024. "Higher-order moments spillovers among energy, carbon and tourism markets: Time- and frequency-domain evidence," PLOS ONE, Public Library of Science, vol. 19(11), pages 1-20, November.
    • Handle: RePEc:plo:pone00:0313002
    DOI: 10.1371/journal.pone.0313002
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    References listed on IDEAS

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    4. Mei, H. & Li, Y.P. & Suo, C. & Ma, Y. & Lv, J., 2020. "Analyzing the impact of climate change on energy-economy-carbon nexus system in China," Applied Energy, Elsevier, vol. 262(C).
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    Cited by:

    1. Wang, Yu & Cheung, Adrian Wai Kong & Yan, Wan-Lin & Wang, Bin, 2025. "Connectedness of China’s green bond and green stock markets at the low- and high-order moments: The role of economic and climate policy uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    2. Gao, Wang & Jin, Xiaoman & Zhang, Hongwei & He, Miao, 2025. "The asymmetric response of higher-order moments of precious metals to energy shocks and financial stresses: Evidence from time-frequency connectedness approach," Energy Economics, Elsevier, vol. 142(C).

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