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Deciphering asymmetric spillovers in US industries: Insights from higher-order moments

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  • Shafiullah, Muhammad
  • Senthilkumar, Arunachalam
  • Lucey, Brian M.
  • Naeem, Muhammad Abubakr

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.

Suggested Citation

  • Shafiullah, Muhammad & Senthilkumar, Arunachalam & Lucey, Brian M. & Naeem, Muhammad Abubakr, 2024. "Deciphering asymmetric spillovers in US industries: Insights from higher-order moments," Research in International Business and Finance, Elsevier, vol. 70(PA).
    • Handle: RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065
    DOI: 10.1016/j.ribaf.2024.102313
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    More about this item

    Keywords

    Realized volatility; Realized skewness; Realized kurtosis; Higher moment-order transmission; Disruptive global events;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

    Statistics

    Access and download statistics

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