International Conference on Economics, Finance & Business, London

CRUDE OIL, FOREX, AND STOCK MARKETS: UNVEILING THE HIGHER-ORDER MOMENT AND CROSS-MOMENT RISK SPILLOVERS IN TIMES OF TURMOIL

AKTHAM MAGHAYREH

Abstract:

This paper employs an analytical framework combining realized moment measures with a TVP-VAR extended joint connectedness approach to examine higher-order moment and cross-moment risk spillovers among Crude Oil Futures (CL), Dollar Index Futures (DX), and S&P 500 E-Mini Futures (ES). Results reveal that connectedness among oil, stock, and forex markets depends on distribution moments, with realized volatility (RV) spillovers significantly exceeding those of higher-order moments (RS, RK) and jumps (RJ). Crude oil consistently acts as a net transmitter across all measures, highlighting its dominant role, while forex and stock markets are primary net receivers of volatility and kurtosis spillovers, respectively. Spillover dynamics are time-variant and highly sensitive to crises such as the oil price crisis, US-China trade war, COVID-19 pandemic, and the ongoing wars in Ukraine and the Middle East. Notably, RV, RJ, and cross-moment joint spillovers are more reactive to health crises, while higher-order moments respond more to geopolitical events.

Keywords: Risk Spillovers, Higher-Order Moments, Time-Variant Dynamics, Geopolitical and Health Crises