Decoding risk transmission: A higher-order moments network analysis of sustainable and traditional markets

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103085

Yue He , Miaomiao Tao , Xiaohang Ren

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Abstract

The implications of spillovers between traditional and sustainable markets have drawn extensive attention as the world’s financial markets become more intricate and interconnected. We construct a multi-layer dynamic spillover network to characterize the risk contagion between sustainable markets (i.e., carbon, clean energy, and gas) and traditional markets (i.e., crude oil, gold, and equities). In particular, we examine the dynamic spillover characteristics across markets by leveraging higher-order moments and the DBN-LGCNET model. Our results reveal robust interconnections between the crude oil and gold markets in the higher-order moments network, whereas sustainable markets exhibit notable linkages at the skewness and kurtosis layers. Spillover relationships across different market layers display similarities and pronounced heterogeneity. These results present a fresh viewpoint for investors on portfolio diversification and risk mitigation while offering empirical evidence to aid policymakers in promoting green finance.

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解码风险传递：可持续市场与传统市场的高阶矩网络分析

随着世界金融市场变得更加错综复杂和相互关联，传统市场和可持续市场之间的溢出效应引起了广泛关注。我们构建了一个多层动态溢出网络，以表征可持续市场（如碳、清洁能源和天然气）与传统市场（如原油、黄金和股票）之间的风险传染。特别地，我们利用高阶矩和DBN-LGCNET模型研究了跨市场的动态溢出特征。我们的研究结果表明，原油和黄金市场在高阶矩网络中存在强大的相互联系，而可持续市场在偏度和峰度层上表现出显著的联系。不同市场层间的溢出关系表现出相似性和显著的异质性。这些结果为投资者提供了投资组合多元化和风险缓解的新视角，同时也为政策制定者促进绿色金融提供了经验证据。

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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