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Intra- and inter-sector spillover effects within a supply chain: Evidence from Taiwan electric motorcycle industry

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  • Chen, Yu-Fen
  • Lin, Fu-Lai
  • Yeh, Wen-Hung

Abstract

This study adopts a TVP-VAR based connectedness approach to investigate dynamic spillover effects of stock return in the supply chain of Taiwan's electric motorcycle. The decomposition of spillovers into intra- and inter-sector parts finds that the intra-sector connectedness is larger than the inter-sector one. Our results further suggest the midstream sector as the main transmitter of shocks as taking either intra-sector or inter-sector effects into consideration. We also find that inter-sector spillovers diminish with the echelon distance in the supply chain. The results provide insights for investors in assessing how stock returns shocks transmitted in the supply chain.

Suggested Citation

  • Chen, Yu-Fen & Lin, Fu-Lai & Yeh, Wen-Hung, 2024. "Intra- and inter-sector spillover effects within a supply chain: Evidence from Taiwan electric motorcycle industry," Economics Letters, Elsevier, vol. 240(C).
    • Handle: RePEc:eee:ecolet:v:240:y:2024:i:c:s0165176524002519
    DOI: 10.1016/j.econlet.2024.111767
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    More about this item

    Keywords

    Dynamic connectedness; TVP-VAR; Spillover decomposition; Intra- and Inter-sector connectedness; Echelon distance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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