Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets

The interconnectedness of stock markets is an important topic in empirical research, as spillovers on financial matter for asset pricing, portfolio allocation, stability, and risk management. This research focuses all four moments return distributions their between CESEE (Central, Eastern, South-Eastern Europe) markets. Higher analysis needs to be explored more deeply, but can provide detailed insights into distribution shifts market returns due shocks other fills such a gap the literature by estimating spillover effects distributions. Based data from January 2013 September 2022, VAR (vector autoregression) model estimated individual across base calculation indices. main findings indicate that it difficult track at once net emitter one or countries involved often change being receiver vice versa. Moreover, higher markets, which has implications dynamic selection.