Dynamic connectedness and network in the high moments of cryptocurrency,stock,and commodity markets  

作　　者：Waqas Hanif Hee‑Un Ko Linh Pham Sang Hoon Kang 

机构地区：[1]CEFAGE‑Center for Advanced Studies in Management and Economics,University of Algarve,Faro,Portugal [2]Department of Management Sciences,COMSATS University Islamabad,Attock Campus,Attock,Pakistan [3]Korea Housing and Urban Guarantee Corporation,Busan,Republic of Korea [4]Economics,Business and Finance Department,Lake Forest College,Lake Forest,IL 60045,USA [5]PNU Business School,Pusan National University,Jangjeon2‑Dong,Geumjeong‑Gu,Busan 609‑735,Republic of Korea

出　　处：《Financial Innovation》2023年第1期2388-2427,共40页金融创新（英文）

基　　金：financial support from Fundacao para a Ciencia e a Tecnologia under the project(Grant UIDB/04007/2020);supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422).

摘　　要：This study examines the connectedness in high-order moments between cryptocurrency,major stock(U.S.,U.K.,Eurozone,and Japan),and commodity(gold and oil)markets.Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012)and Barunik and Křehlik(J Financ Econom 16(2):271–296,2018),we investigate spillovers among the markets in realized volatility,the jump component of realized volatility,realized skewness,and realized kurtosis.These higher-order moments allow us to identify the unique characteristics of financial returns,such as asymmetry and fat tails,thereby capturing various market risks such as downside risk and tail risk.Our results show that the cryptocurrency,stock,and commodity markets are highly connected in terms of volatility and in the jump component of volatility,while their connectedness in skewness and kurtosis is smaller.Moreover,jump and volatility connectedness are more persistent than that of skewness and kurtosis connectedness.Our rolling-window analysis of the connectedness models shows that connectedness varies over time across all moments,and tends to increase during periods of high uncertainty.Finally,we show the potential of gold and oil as hedging and safe-haven investments for other markets given that they are the least connected to other markets across all moments and investment horizons.Our findings provide useful information for designing effective portfolio management and cryptocurrency regulations.

关 键 词：SPILLOVERS High moments High frequency HEDGING 

分 类 号：G14[文化科学] G15