Higher-order moment risk spillovers across various financial and commodity markets: Insights from the Israeli–Palestinian conflict

Jinxin Cui, Aktham Maghyereh

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)

    Abstract

    We utilize the TVP-VAR extended joint connectedness approach to analyze higher-order moment risk spillovers among oil, natural gas, gold, and the stock markets in Palestine and Israel. We find that the outbreak of the Israeli–Palestinian conflict in October 2023 has greatly intensified the total spillovers of volatility as well as higher-order moment risks. The sharp rise triggered by this geopolitical event is significantly higher than that following the Russia–Ukraine war. The connectedness results vary with time and moments, notably with the total volatility connectedness surpassing that of skewness and kurtosis. These insights hold practical implications for diverse stakeholders.

    Original languageEnglish
    Article number104832
    JournalFinance Research Letters
    Volume59
    DOIs
    Publication statusPublished - Jan 2024

    Keywords

    • Geopolitical risks
    • Higher-order moments
    • Israeli–Palestinian conflict
    • Risk spillovers
    • TVP-VAR extended joint connectedness

    ASJC Scopus subject areas

    • Finance

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