Abstract
This study examines the spillover in high-order moments for major stock markets in Europe, Japan, the UK, and the US (STOXX50, FTSE100, SP500, and NIKKEI225), and two representative commodities (Brent crude oil and gold futures) using 5-min data from January 1, 2020, to May 31, 2022. The results show that spillovers vary across order moments, which are larger for realized volatility and jumps than for realized skewness and kurtosis. Moreover, gold is a net receiver of spillovers for all order moments, whereas oil switches from a net receiver of spillovers under both realized volatility and jumps to a net transmitter of spillovers in realized skewness and kurtosis spillovers. The US stock market is a net transmitter of spillovers in all realized moments, whereas other stock markets shift from net receivers to net contributors based on the moments. Furthermore, spillovers in high-order moments vary over time, and their trends behave differently over time. The spillovers in high-order moments increase during different phases of the COVID-19 and Ukraine-Russia wars. These findings have significant implications for fund allocations and financial risk management.
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