Abstract
This study adopts a TVP-VAR based connectedness approach to investigate dynamic spillover effects of stock return in the supply chain of Taiwan's electric motorcycle. The decomposition of spillovers into intra- and inter-sector parts finds that the intra-sector connectedness is larger than the inter-sector one. Our results further suggest the midstream sector as the main transmitter of shocks as taking either intra-sector or inter-sector effects into consideration. We also find that inter-sector spillovers diminish with the echelon distance in the supply chain. The results provide insights for investors in assessing how stock returns shocks transmitted in the supply chain.
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