High-order moment joint risk spillovers and investment management: Implications for green shipbuilding policy and practice

Abstract

With the shipping industry undergoing a profound green transformation, the demand for green financing in the shipbuilding sector has reached unprecedented levels, attracting widespread attention from global investors. We develop an advanced framework for joint risk measurement based on higher-order moments. This framework focuses on risk spillovers and investment management in green bonds and shipbuilding markets. By applying the framework, we reveal the significant role of higher-order moment joint risk information in investment and risk management. This includes accurately assessing substantial risk spillovers between green bonds and shipbuilding markets while overcoming limitations inherent in minimum variance portfolio theory, constructing robust higher-order moment portfolio technique to enhance returns. Our research provides governments with a methodological framework for accurately assessing market risks. It also offers investors interested in green shipbuilding specific trading strategies and investment approaches, which aim to mitigate risk and achieve stable returns in turbulent economic environments.