Dynamic Spillovers in Higher Moments and Jumps Across Chinese New Energy and Industry Stock Markets

Equity-market connectedness can look different depending on whether risk is measured by variance, asymmetry, tail thickness, or jumps. Using 5 min observations for the CSI New Energy Index and ten Shanghai Stock Exchange sector indices from 4 January 2016 to 31 December 2025, we construct 2430 common daily observations of realized volatility, skewness, kurtosis, and jump risk and estimate four TVP-VAR/GFEVD systems. Average total connectedness is 81.2 for volatility, 52.1 for skewness, 41.2 for kurtosis, and 51.1 for jump risk. The new-energy index is a net transmitter in all four full-sample systems, with NET values of 4.7, 4.0, 3.5, and 3.6, respectively, but the dominant transmitter differs by risk dimension: industrials lead volatility and skewness, materials lead kurtosis, and consumer discretionary leads jump risk. Subperiod results show that these roles are not temporally invariant; ZNE becomes a net receiver in several post-2021 risk-measure/period combinations. Alternative lag lengths, forecast horizons, forgetting factors, 15 min aggregation, and an alternative jump-test size leave the broad TVP-VAR conclusions unchanged. The results show that sectoral risk leadership is both dimension-specific and time-varying, with implications for portfolio and sectoral risk monitoring.