TY - JOUR
T1 - Mapping complex interdependencies through higher order moments: Cross-market spillovers and shocks in BRICS
AU - Ijaz, Muhammad Shahzad
AU - Faff, Robert
AU - Khurram, Mahrukh
AU - Munir, Irfan
N1 - Publisher Copyright:
© 2025 Elsevier Inc.
PY - 2025/6
Y1 - 2025/6
N2 - The interdependence of stock markets is crucial for systemic risk management and policy formulation. While most studies focus on returns and volatility, our paper explores higher-order moment risk linkages among BRICS equity markets. It also investigates how geopolitical conflicts affect the transmission of higher-order moments. The findings reveal that risk spillovers between these markets are time-varying, with kurtosis spillovers being more prominent than those from volatility and skewness. The dynamic evolution of these spillovers intensifies during major financial crises.
AB - The interdependence of stock markets is crucial for systemic risk management and policy formulation. While most studies focus on returns and volatility, our paper explores higher-order moment risk linkages among BRICS equity markets. It also investigates how geopolitical conflicts affect the transmission of higher-order moments. The findings reveal that risk spillovers between these markets are time-varying, with kurtosis spillovers being more prominent than those from volatility and skewness. The dynamic evolution of these spillovers intensifies during major financial crises.
UR - http://www.scopus.com/inward/record.url?scp=105000957343&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2025.107091
DO - 10.1016/j.frl.2025.107091
M3 - Article
AN - SCOPUS:105000957343
SN - 1544-6123
VL - 79
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 107091
ER -