Abstract
This study examines higher-order and cross-moment spillovers across MENA stock markets. Our unique framework integrates the ACD model with the TVP-VAR extended joint connectedness approach. We also analyze how geopolitical risks and global fear predict and influence both identical and cross-moment spillovers. Our findings show stronger total volatility spillovers among MENA stock markets compared to skewness and kurtosis spillovers. Cross-moment spillovers are more pronounced than those in the CS and CK measures, with the CV-CK pair showing the strongest effects. VIX and GPR are found to Granger cause total spillovers in both identical and cross-moment measures during specific periods.
| Original language | English |
|---|---|
| Article number | 102885 |
| Journal | Research in International Business and Finance |
| Volume | 77 |
| DOIs | |
| Publication status | Published - May 2025 |
Keywords
- Cross-moment spillovers
- GPR
- Higher-order moment
- MENA stock markets
- VIX
ASJC Scopus subject areas
- Business, Management and Accounting (miscellaneous)
- Finance
Fingerprint
Dive into the research topics of 'Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear'. Together they form a unique fingerprint.Cite this
- APA
- Standard
- Harvard
- Vancouver
- Author
- BIBTEX
- RIS