Deciphering asymmetric spillovers in US industries: Insights from higher-order moments

Muhammad Shafiullah, Arunachalam Senthilkumar, Brian M. Lucey, Muhammad Abubakr Naeem

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Incorporating higher-order moments, like realized volatility, skewness, and kurtosis, is crucial for understanding asymmetric asset pricing trends. Our research rigorously calculates static and dynamic higher-order moment spillovers across nine distinct US industries, using ultra-high-frequency data. We dive into the complex factors driving these spillovers, examining micro and macro-level factors. Our findings illuminate how higher-order moments are transmitted among these industries, particularly during disruptive global events with time-varying patterns. Notably, we discover that crash risk's persistence surpasses that of volatility risk, highlighting a significant divergence in market agents' asset pricing mechanisms. Importantly, firm-level risk factors significantly influence crash risk, showing an inverse relationship with industry-specific uncertainty. On the other hand, external macro-level risk factors directly impact the realized volatility of these industries. Our study's insights have substantial implications for various stakeholders, including investors, fund managers, policymakers, and financial regulators.

Original languageEnglish
Article number102313
JournalResearch in International Business and Finance
Volume70
DOIs
Publication statusPublished - Jun 2024
Externally publishedYes

Keywords

  • Disruptive global events
  • Higher moment-order transmission
  • Realized kurtosis
  • Realized skewness
  • Realized volatility

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

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