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 language | English |
|---|---|
| Article number | 104832 |
| Journal | Finance Research Letters |
| Volume | 59 |
| DOIs | |
| Publication status | Published - Jan 2024 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 16 Peace, Justice and Strong Institutions
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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