School of Finance, Hebei University of Economics and Business, Shijiazhuang, China.
School of Statistics, Renmin University of China, Beijing, China.
PLoS One. 2024 Nov 14;19(11):e0313002. doi: 10.1371/journal.pone.0313002. eCollection 2024.
This paper uses the GJRSK model to estimate the high-order moments of energy (oil, natural gas, and coal), the carbon market, and tourism stocks. Then, it utilizes a novel TVP-VAR time-frequency connectedness approach to examine higher-order moments spillovers among them. The results show a strong connectedness among the three markets. The energy market is the emitter of volatility, skewness and kurtosis spillovers; tourism stock is the receiver; and the carbon market is the transmitter. From a time-domain perspective, the higher-order moments spillovers of the three markets are time-varying, especially during extreme periods, where the energy market's spillover effects on tourism stocks are significantly enhanced, indicating that tourism stocks bear a greater risk at leptokurtosis and fat-tail moment. From a frequency-domain perspective, the long-term asymmetric spillovers of oil, natural gas, and tourism markets on the carbon market are more pronounced than the short-term. Moreover, the COVID-19 pandemic exacerbated the higher-moment spillovers of energy and tourism stocks on the carbon market. Meanwhile, the Russia-Ukraine conflict led to extreme risk transmission within the energy market. These findings have significant implications for cross-industry investors and green finance risk management.
本文运用 GJRSK 模型估算了能源（石油、天然气和煤炭）、碳市场和旅游股票的高阶矩。然后，采用新颖的 TVP-VAR 时频关联方法来检验它们之间的高阶矩溢出效应。结果表明，这三个市场之间存在很强的关联性。能源市场是波动、偏度和峰度溢出的发射器；旅游股票是接收器；而碳市场是传递者。从时域角度来看，三个市场的高阶矩溢出是时变的，尤其是在极端时期，能源市场对旅游股票的溢出效应显著增强，表明旅游股票在尖峰厚尾方面承担更大的风险。从频域角度来看，石油、天然气和旅游市场对碳市场的长期非对称溢出比短期更为明显。此外，COVID-19 大流行加剧了能源和旅游股票对碳市场的高阶矩溢出。同时，俄乌冲突导致能源市场内部的极端风险传递。这些发现对跨行业投资者和绿色金融风险管理具有重要意义。
