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

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  • Cui, Jinxin
  • Maghyereh, Aktham

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.

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  • Cui, Jinxin & Maghyereh, Aktham, 2024. "Higher-order moment risk spillovers across various financial and commodity markets: Insights from the Israeli–Palestinian conflict," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012047
    DOI: 10.1016/j.frl.2023.104832
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    2. Lin, Zi-Luo & Ouyang, Wen-Pei & Yu, Qing-Rui, 2024. "Risk spillover effects of the Israel–Hamas War on global financial and commodity markets: A time–frequency and network analysis," Finance Research Letters, Elsevier, vol. 66(C).

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