Deciphering asymmetric spillovers in US industries: Insights from higher-order moments
| dc.contributor.author | Shafiullah, Muhammad | |
| dc.contributor.author | Senthilkumar, Arunachalam | |
| dc.contributor.author | Lucey, Brian M | |
| dc.contributor.author | Naeem, Muhammad Abubakr | |
| dc.date.accessioned | 2024-08-28T07:34:31Z | |
| dc.date.available | 2024-08-28T07:34:31Z | |
| dc.date.issued | 2024-06 | |
| dc.description | Higher order moments are more informative in inferring asymmetries in asset pricing under extreme conditions of favour or adversity (Amaya et al., 2015; Jiang, 2013). The extant literature in finance focuses on the relationship between returns and volatility (second moment), ignoring the valuable information that is present in the higher moments like Skewness (third moment) that captures asymmetry; Kurtosis (fourth moment) that reflects tail and peak characteristics of the return distribution. Higher order moments contain vital information that can explain returns of risky assets/markets . | |
| dc.description.abstract | Incorporating higher-order moments, like realized volatility, skewness, and kurtosis, is crucial for understanding asymmetric asset pricing trends. Our research rigorously calculates static and dynamic higher-order moment spillovers across nine distinct US industries, using ultra-high-frequency data. We dive into the complex factors driving these spillovers, examining micro and macro-level factors. Our findings illuminate how higher-order moments are transmitted among these industries, particularly during disruptive global events with time-varying patterns. Notably, we discover that crash risk's persistence surpasses that of volatility risk, highlighting a significant divergence in market agents' asset pricing mechanisms. Importantly, firm-level risk factors significantly influence crash risk, showing an inverse relationship with industry-specific uncertainty. On the other hand, external macro-level risk factors directly impact the realized volatility of these industries. Our study's insights have substantial implications for various stakeholders, including investors, fund managers, policymakers, and financial regulators. Keywords Disruptive Global Events, Higher Moment-Order Transmission, Realized Kurtosis, Realized Skewness, Realized Volatility | |
| dc.identifier.citation | Shafiullah, M., Senthilkumar, A., Lucey, B. M., & Naeem, M. A. (2024). Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. Research in International Business and Finance, 70, 102313. | |
| dc.identifier.doi | https://doi.org/10.1016/j.ribaf.2024.102313 | |
| dc.identifier.uri | https://repository.adu.ac.ae/handle/1/6333 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier Ltd | |
| dc.title | Deciphering asymmetric spillovers in US industries: Insights from higher-order moments | |
| dc.type | Article |