Realized higher-order moments spillovers between commodity and stock markets: Evidence from China

Citations

Cited by:

1. Walid Mensi & Anoop S. Kumar & Hee-Un Ko & Sang Hoon Kang, 2024. "Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(2), pages 507-538, June.
2. Zhu, Huiming & Xia, Xiling & Hau, Liya & Zeng, Tian & Deng, Xi, 2024. "Time-frequency higher-order moment Co-movement and connectedness between Chinese stock and commodity markets," International Review of Economics & Finance, Elsevier, vol. 96(PA).
3. He, Xie & Hamori, Shigeyuki, 2024. "The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers," International Review of Financial Analysis, Elsevier, vol. 95(PA).
   • Xie He & Shigeyuki Hamori, 2023. "The Higher the Better? Hedging and Investment Strategies in Cryptocurrency Markets : Insights from Higher Moment Spillovers," Discussion Papers 2315, Graduate School of Economics, Kobe University.
4. Yang, Ming-Yuan & Chen, Zhanghangjian & Liang, Zongzheng & Li, Sai-Ping, 2023. "Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events," Journal of Commodity Markets, Elsevier, vol. 32(C).
5. Biswas, Priti & Jain, Prachi & Maitra, Debasish, 2024. "Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war," Journal of Commodity Markets, Elsevier, vol. 34(C).
6. He, Xie & Hamori, Shigeyuki, 2024. "Asymmetric Higher-Moment spillovers between sustainable and traditional investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 97(C).
7. Hongjun Zeng & Mohammad Zoynul Abedin & Abdullahi D. Ahmed & Brian Lucey, 2025. "Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(6), pages 659-682, June.
8. Hao, Wei & Pham, Linh, 2024. "Dynamic connectedness in the higher moments between clean energy and oil prices," Energy Economics, Elsevier, vol. 140(C).
9. Mensi, Walid & El Khoury, Rim & Al-Kharusi, Sami & Kang, Sang Hoon, 2024. "Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets: Evidence from Asian Pacific, Canada, Mexico, and US countries," International Review of Economics & Finance, Elsevier, vol. 96(PA).
10. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).
11. Zhou, Donghai & Liu, Xiaoxing & Tang, Chun, 2024. "Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
12. Gao, Wang & Wei, Jiajia & Zhang, Hongwei & Zhang, Haizhen, 2024. "Does climate policy uncertainty exacerbate extreme risk spillovers between green economy and energy metals?," Resources Policy, Elsevier, vol. 91(C).
13. Gao, Wang & Wei, Jiajia & Zhang, Hongwei & Zhang, Haizhen, 2024. "The higher-order moments connectedness between rare earth and clean energy markets and the role of geopolitical risk:New insights from a TVP-VAR framework," Energy, Elsevier, vol. 305(C).
14. Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024. "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers 202422, University of Pretoria, Department of Economics.
15. Cui, Jinxin & Maghyereh, Aktham, 2025. "Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis," Journal of Commodity Markets, Elsevier, vol. 38(C).
16. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "The spillover and comovement of downside and upside tail risks among crude oil futures markets," International Review of Financial Analysis, Elsevier, vol. 96(PA).
17. Mensi, Walid & Ko, Hee-Un & Sensoy, Ahmet & Kang, Sang Hoon, 2024. "Higher-order moment connectedness between stock and commodity markets and portfolio management," Resources Policy, Elsevier, vol. 89(C).
18. Fahmi Ghallabi & Ahmed Ghorbel & Sitara Karim, 2025. "Decoding systemic risks across commodities and emerging market stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-23, December.
19. Cui, Jinxin & Maghyereh, Aktham, 2024. "Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress," Journal of Commodity Markets, Elsevier, vol. 33(C).
20. Banerjee, Ameet Kumar & Dionisio, Andreia & Sensoy, Ahmet & Goodell, John W., 2024. "Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments," Energy Economics, Elsevier, vol. 136(C).
21. Yang, Jie & Feng, Yun & Yang, Hao, 2024. "Commodity connectedness of the petrochemical industrial chain: A novel perspective of “good” and “bad” volatility surprises," Finance Research Letters, Elsevier, vol. 67(PB).
22. Peng Qin & Manying Bai, 2024. "WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market," PLOS ONE, Public Library of Science, vol. 19(4), pages 1-15, April.
23. Linjie Wang & Jean‐Paul Chavas & Jian Li, 2024. "Dynamic linkages in agricultural and energy markets: A quantile impulse response approach," Agricultural Economics, International Association of Agricultural Economists, vol. 55(4), pages 639-676, July.
24. 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).
25. Sahoo, Satyaban, 2024. "Harmony in diversity: Exploring connectedness and portfolio strategies among crude oil, gold, traditional and sustainable index," Resources Policy, Elsevier, vol. 97(C).
26. Wang, Yihan & Goutte, Stephane & Bouri, Elie & Sokhanvar, Amin, 2024. "Climate risks and the realized higher-order moments of financial markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 1064-1087.