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

Financial Innovation

Research

Waqas Hanif¹  Linh Pham²  Hee-Un Ko³  Sang Hoon Kang⁴ 

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

关键词: Spillovers;    High moments;    High frequency;    Hedging;    G14;    G15;   

DOI  :  10.1186/s40854-023-00474-6

 received in 2022-10-23, accepted in 2023-03-01,  发布年份 2023

来源: Springer

【 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 Baruník and Křehlík (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.

【 授权许可】

CC BY   
© The Author(s) 2023

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