Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear

被引：0

作者：

Helmi, Mohamad Husam ^{[1
]}

Cui, Jinxin ^{[2
,3
]}

Elsayed, Ahmed H. ^{[4
]}

Hoque, Mohammad Enamul ^{[5
]}

机构：

[1] Rabdan Acad, Dept Res & Innovat, Abu Dhabi, U Arab Emirates

[2] Zhejiang Gongshang Univ, Econ Forecasting & Policy Simulat Lab, Hangzhou 310018, Peoples R China

[3] Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Peoples R China

[4] United Arab Emirates Univ, Dept Econ & Finance, Al Ain, U Arab Emirates

[5] BRAC Univ, BRAC Business Sch, 66 Mohakhali, Dhaka 1212, Bangladesh

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2025年 / 77卷

关键词：

Higher-order moment; Cross-moment spillovers; MENA stock markets; GPR; VIX; EQUITY MARKETS; FAT-TAILS; VOLATILITY; ASYMMETRIES; BEHAVIOR; MONEY;

D O I：

10.1016/j.ribaf.2025.102885

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines higher-order and cross-moment spillovers across MENA stock markets. Our unique framework integrates the ACD model with the TVP-VAR extended joint connectedness approach. We also analyze how geopolitical risks and global fear predict and influence both identical and cross-moment spillovers. Our findings show stronger total volatility spillovers among MENA stock markets compared to skewness and kurtosis spillovers. Cross-moment spillovers are more pronounced than those in the CS and CK measures, with the CV-CK pair showing the strongest effects. VIX and GPR are found to Granger cause total spillovers in both identical and cross-moment measures during specific periods.

引用

页数：32

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