High-order moment joint risk spillovers and investment management: Implications for green shipbuilding policy and practice

IF 6.3 2区工程技术 Q1 ECONOMICS

Transport Policy Pub Date : 2025-01-07 DOI:10.1016/j.tranpol.2025.01.011

Shuiyang Chen , Bin Meng , Haibo Kuang

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引用次数: 0

Abstract

With the shipping industry undergoing a profound green transformation, the demand for green financing in the shipbuilding sector has reached unprecedented levels, attracting widespread attention from global investors. We develop an advanced framework for joint risk measurement based on higher-order moments. This framework focuses on risk spillovers and investment management in green bonds and shipbuilding markets. By applying the framework, we reveal the significant role of higher-order moment joint risk information in investment and risk management. This includes accurately assessing substantial risk spillovers between green bonds and shipbuilding markets while overcoming limitations inherent in minimum variance portfolio theory, constructing robust higher-order moment portfolio technique to enhance returns. Our research provides governments with a methodological framework for accurately assessing market risks. It also offers investors interested in green shipbuilding specific trading strategies and investment approaches, which aim to mitigate risk and achieve stable returns in turbulent economic environments.

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来源期刊

Transport Policy Multiple-

CiteScore

12.10

自引率

10.30%

发文量

282

期刊介绍： Transport Policy is an international journal aimed at bridging the gap between theory and practice in transport. Its subject areas reflect the concerns of policymakers in government, industry, voluntary organisations and the public at large, providing independent, original and rigorous analysis to understand how policy decisions have been taken, monitor their effects, and suggest how they may be improved. The journal treats the transport sector comprehensively, and in the context of other sectors including energy, housing, industry and planning. All modes are covered: land, sea and air; road and rail; public and private; motorised and non-motorised; passenger and freight.