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

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-04-03 DOI:10.1016/j.ribaf.2025.102885

Mohamad Husam Helmi , Jinxin Cui , Ahmed H. Elsayed , Mohammad Enamul Hoque

引用次数: 0

Abstract

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.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance