Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets

Investigating the dynamic interdependencies and risk connectedness in global oil markets is paramount for investors and regulatory bodies. Nevertheless, prevailing research has predominantly focused on the examination of lower-order moments, thereby imposing limitations on the extent of inquiry. Thi...

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Published inResources policy Vol. 86; p. 104286
Main Authors Cui, Jinxin, Alshater, Muneer M., Mensi, Walid
Format Journal Article
LanguageEnglish
Published Elsevier Ltd 01.10.2023
Subjects
Global oil markets
Higher-order moment risks
Minimum connectedness portfolio
Risk connectedness
TVP-VAR extended joint connectedness
G11
C58
Minimum connectedness portfolio
TVP-VAR extended joint connectedness
Global oil markets
Risk connectedness
Higher-order moment risks
G15
Online AccessGet full text

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Abstract Investigating the dynamic interdependencies and risk connectedness in global oil markets is paramount for investors and regulatory bodies. Nevertheless, prevailing research has predominantly focused on the examination of lower-order moments, thereby imposing limitations on the extent of inquiry. This paper undertakes an analysis of higher-order moment risk spillovers in global oil markets employing the innovative time-varying parameter vector autoregression (TVP-VAR) extended joint connectedness approach. Moreover, this study pioneers the construction of minimum connectedness portfolio strategies encompassing oil markets worldwide, incorporating the outcomes of higher-order moment risk connectedness into multivariate portfolio construction. Our empirical investigation unequivocally highlights the ascendance of OPEC oil as the preeminent net transmitter of connectedness across all moments, reinforcing its pivotal role in the transmission of risk. Furthermore, our findings disclose significant heterogeneity in the connectedness outcomes, with discernible variations across diverse moment orders. Remarkably, the oil benchmarks of WTI and Brent undergo a discernible transformation, transitioning into net recipients when subjected to higher-order moment risk spillovers. Additionally, the dynamics of equicorrelations, pairwise correlations, as well as the time-varying total, net, and net-pairwise connectedness indices, exhibit a high degree of responsiveness to major crisis events. Finally, the incorporation of higher-order moment risk spillovers into oil portfolio strategies manifests enhanced efficacy in risk management. The policy implications derived from our findings bear practical significance for an array of stakeholders, including cross-market investors, portfolio managers, regulatory entities, and policymakers. •We examine higher-order moment risk spillovers in global oil markets.•We explore the minimum connectedness portfolio strategies encompassing oil markets worldwide.•We highlight the ascendance of OPEC oil as the preeminent net transmitter of connectedness across all moments.•A significant heterogeneity in the connectedness outcomes, with discernible variations across diverse moment orders.•Relying on higher-order moment risk spillovers into portfolio strategies enhances the efficacy in risk management.
AbstractList Investigating the dynamic interdependencies and risk connectedness in global oil markets is paramount for investors and regulatory bodies. Nevertheless, prevailing research has predominantly focused on the examination of lower-order moments, thereby imposing limitations on the extent of inquiry. This paper undertakes an analysis of higher-order moment risk spillovers in global oil markets employing the innovative time-varying parameter vector autoregression (TVP-VAR) extended joint connectedness approach. Moreover, this study pioneers the construction of minimum connectedness portfolio strategies encompassing oil markets worldwide, incorporating the outcomes of higher-order moment risk connectedness into multivariate portfolio construction. Our empirical investigation unequivocally highlights the ascendance of OPEC oil as the preeminent net transmitter of connectedness across all moments, reinforcing its pivotal role in the transmission of risk. Furthermore, our findings disclose significant heterogeneity in the connectedness outcomes, with discernible variations across diverse moment orders. Remarkably, the oil benchmarks of WTI and Brent undergo a discernible transformation, transitioning into net recipients when subjected to higher-order moment risk spillovers. Additionally, the dynamics of equicorrelations, pairwise correlations, as well as the time-varying total, net, and net-pairwise connectedness indices, exhibit a high degree of responsiveness to major crisis events. Finally, the incorporation of higher-order moment risk spillovers into oil portfolio strategies manifests enhanced efficacy in risk management. The policy implications derived from our findings bear practical significance for an array of stakeholders, including cross-market investors, portfolio managers, regulatory entities, and policymakers. •We examine higher-order moment risk spillovers in global oil markets.•We explore the minimum connectedness portfolio strategies encompassing oil markets worldwide.•We highlight the ascendance of OPEC oil as the preeminent net transmitter of connectedness across all moments.•A significant heterogeneity in the connectedness outcomes, with discernible variations across diverse moment orders.•Relying on higher-order moment risk spillovers into portfolio strategies enhances the efficacy in risk management.
ArticleNumber 104286
Author Alshater, Muneer M.
Cui, Jinxin
Mensi, Walid
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  organization: Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman
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Keywords G11
C58
Minimum connectedness portfolio
TVP-VAR extended joint connectedness
Global oil markets
Risk connectedness
Higher-order moment risks
G15
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Snippet Investigating the dynamic interdependencies and risk connectedness in global oil markets is paramount for investors and regulatory bodies. Nevertheless,...
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StartPage 104286
SubjectTerms Global oil markets
Higher-order moment risks
Minimum connectedness portfolio
Risk connectedness
TVP-VAR extended joint connectedness
Title Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets
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