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

Jinxin Cui; Aktham Maghyereh

doi:10.1016/j.frl.2023.104832

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 journal › Article › peer-review

53 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 language	English
Article number	104832
Journal	Finance Research Letters
Volume	59
DOIs	https://doi.org/10.1016/j.frl.2023.104832
Publication status	Published - Jan 2024

Keywords

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

ASJC Scopus subject areas

Finance

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.frl.2023.104832

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

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.",

keywords = "Geopolitical risks, Higher-order moments, Israeli–Palestinian conflict, Risk spillovers, TVP-VAR extended joint connectedness",

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AU - Cui, Jinxin

AU - Maghyereh, Aktham

PY - 2024/1

Y1 - 2024/1

N2 - 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.

AB - 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.

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KW - Higher-order moments

KW - Israeli–Palestinian conflict

KW - Risk spillovers

KW - TVP-VAR extended joint connectedness

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DO - 10.1016/j.frl.2023.104832

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VL - 59

JO - Finance Research Letters

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

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