{"title":"Asymmetric Higher-Moment spillovers between sustainable and traditional investments","authors":"Xie He , Shigeyuki Hamori","doi":"10.1016/j.intfin.2024.102078","DOIUrl":null,"url":null,"abstract":"<div><div>This study proposes a novel framework that decomposes volatility and higher-moment kurtosis into good and bad volatility/kurtosis—related to positive and negative shocks, respectively. Accordingly, we analyze the spillover effects of good and bad volatility/kurtosis between sustainable and traditional investments separately. During most periods, bad volatility spillovers dominate good volatility spillovers, whereas good kurtosis spillovers dominate bad kurtosis spillovers. However, during specific extreme events, such as Brexit and COVID-19, bad kurtosis spillovers dominate. This study’s findings can help investors in developing extreme risk management strategies and policymakers in preventing harmful shock transmissions across markets and fostering financial stability.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"97 ","pages":"Article 102078"},"PeriodicalIF":5.4000,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443124001446","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This study proposes a novel framework that decomposes volatility and higher-moment kurtosis into good and bad volatility/kurtosis—related to positive and negative shocks, respectively. Accordingly, we analyze the spillover effects of good and bad volatility/kurtosis between sustainable and traditional investments separately. During most periods, bad volatility spillovers dominate good volatility spillovers, whereas good kurtosis spillovers dominate bad kurtosis spillovers. However, during specific extreme events, such as Brexit and COVID-19, bad kurtosis spillovers dominate. This study’s findings can help investors in developing extreme risk management strategies and policymakers in preventing harmful shock transmissions across markets and fostering financial stability.
期刊介绍：
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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