Time-frequency higher-order moment Co-movement and connectedness between Chinese stock and commodity markets

被引:0
|
作者
Zhu, Huiming [1 ]
Xia, Xiling [1 ]
Hau, Liya [1 ]
Zeng, Tian [1 ]
Deng, Xi [1 ]
机构
[1] Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China
基金
中国国家自然科学基金;
关键词
Time-frequency co-movement; Connectedness; Higher-order moment; Stock-commodity; China; CRUDE-OIL; VOLATILITY SPILLOVERS; GOLD; FINANCIALIZATION; UNCERTAINTY; CAUSALITY; INDEXES; EQUITY; IMPACT;
D O I
10.1016/j.iref.2024.103580
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study examines the higher-order moment co-movement and connectedness between China's stock and commodity markets across time and frequency domains. We propose wavelet decomposition to develop a multiscale time-varying parameter vector autoregression (TVP-VAR) approach for measuring higher-order moment connectedness. Our empirical findings are as follows: First, the co-movement of stock-commodity varies over time and across different frequencies, exhibiting heterogeneity at different moments. Stocks demonstrate robust co-movement with commodities over the medium- and long-term periods. Second, higher-order moment connectedness is stronger than return connectedness, whereas weaker than volatility connectedness. Finally, higher-order moment connectedness is highly event-dependent, peaking at COVID-19 onset. And long-run factors have the greatest effect on dynamic moment connectedness.
引用
收藏
页数:32
相关论文
共 50 条
  • [21] Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis
    Matar, Ali
    Al-Rdaydeh, Mahmoud
    Ghazalat, Anas
    Eneizan, Bilal
    COGENT BUSINESS & MANAGEMENT, 2021, 8 (01):
  • [22] Realized higher-order moments spillovers between commodity and stock markets: Evidence from China
    Zhang, Hongwei
    Jin, Chen
    Bouri, Elie
    Gao, Wang
    Xu, Yahua
    JOURNAL OF COMMODITY MARKETS, 2023, 30
  • [23] Time-frequency return connectedness between Chinese coal futures and international stock indices
    Chen, Baifan
    Huang, Jionghao
    Liu, Danhe
    Xia, Xiaohua
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 89 : 316 - 333
  • [24] Time-Frequency Spillovers and Connectedness between Chinese Climate Risk Perception and Energy Markets
    Yang, Zhiming
    Wang, Yiru
    Li, Xiang
    Li, Jing
    Fu, Lifu
    Qiao, Lei
    WEATHER CLIMATE AND SOCIETY, 2025, 17 (01) : 31 - 64
  • [25] Volatility spillovers and time-frequency correlations between Chinese and African stock markets
    Ngo Thai Hung
    REGIONAL STATISTICS, 2020, 10 (02): : 63 - 82
  • [26] Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment
    Dai, Zhifeng
    Zhu, Junxin
    Zhang, Xinhua
    ENERGY ECONOMICS, 2022, 114
  • [27] Extreme time-frequency connectedness between energy sector markets and financial markets
    Alomari, Mohammed
    Belghouthi, Houssem Eddine
    Mensi, Walid
    Vo, Xuan Vinh
    Kang, Sang Hoon
    ECONOMIC ANALYSIS AND POLICY, 2024, 84 : 847 - 877
  • [28] Time-Frequency connectedness of policy uncertainty, geopolitical risk and Chinese commodity markets: evidence from rolling window analysis
    Wu, Hao
    Zhu, Huiming
    Chen, Yiwen
    Huang, Fei
    APPLIED ECONOMICS, 2023, 55 (01) : 90 - 112
  • [29] Price Co-Movement between Electrical Equipment and Metal Commodities-A Time-Frequency Analysis
    Xin, Cheng
    Ji, Kailin
    Chang, Hao
    Li, Yang
    Liu, Ya-Qiong
    SUSTAINABILITY, 2022, 14 (20)
  • [30] Quantile time-frequency connectedness among G7 stock markets and clean energy markets
    El Khoury, Rim
    Alshater, Muneer M.
    Li, Yanshuang
    Xiong, Xiong
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2024, 93 : 71 - 90