可持续投资与传统投资之间不对称的高时刻溢出效应

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-04 DOI:10.1016/j.intfin.2024.102078

Xie He , Shigeyuki Hamori

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引用次数: 0

摘要

本研究提出了一个新颖的框架，将波动率和高次峰度分别分解为与正向冲击和负向冲击相关的好波动率和坏波动率/峰度。因此，我们分别分析了好的和坏的波动率/峰度在可持续投资和传统投资之间的溢出效应。在大多数时期，坏的波动率溢出效应主导好的波动率溢出效应，而好的峰度溢出效应主导坏的峰度溢出效应。然而，在特定的极端事件中，如英国脱欧和 COVID-19，坏的峰度溢出效应占主导地位。本研究的发现有助于投资者制定极端风险管理策略，也有助于政策制定者防止有害冲击跨市场传播，促进金融稳定。

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Asymmetric Higher-Moment spillovers between sustainable and traditional investments

This study proposes a novel framework that decomposes volatility and higher-moment kurtosis into good and bad volatility/kurtosis—related to positive and negative shocks, respectively. Accordingly, we analyze the spillover effects of good and bad volatility/kurtosis between sustainable and traditional investments separately. During most periods, bad volatility spillovers dominate good volatility spillovers, whereas good kurtosis spillovers dominate bad kurtosis spillovers. However, during specific extreme events, such as Brexit and COVID-19, bad kurtosis spillovers dominate. This study’s findings can help investors in developing extreme risk management strategies and policymakers in preventing harmful shock transmissions across markets and fostering financial stability.

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.