Geopolitical risks and historical exchange rate volatility of the BRICS

Salisu, Afees A.; Cuñado, Juncal; Gupta, Rangan

doi:10.1016/j.iref.2021.09.017

Cited by 51 publications

(19 citation statements)

References 61 publications

(49 reference statements)

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“…, 2016), investment choices (Banerjee and Dutta, 2022), firm stability (Phan et al. , 2022), and foreign exchange (Salisu et al. , 2022), among others.…”

Section: Introductionmentioning

confidence: 99%

“…The previous literature has documented that geopolitical events impact economic factors, business dynamics, and asset classes. This includes commodity connectedness (Gong and Xu, 2022), liquidity (Jopp, 2020), entrepreneurial demarches (Luo et al, 2016), investment choices (Banerjee and Dutta, 2022), firm stability (Phan et al, 2022), and foreign exchange (Salisu et al, 2022), among others.…”

Section: Introductionmentioning

confidence: 99%

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The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

Yarovaya

Mirza²

2022

JRF

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PurposeThe purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.Design/methodology/approachUsing a comprehensive sample of 1,281 equity funds in 40 countries. The countries were segregated into conflict states, members of NATO, and those which abstained from voting on the UN resolution on March 2, 2022. The authors employ a GARCH-based event study and estimate CARs for t−5, t−3, t, t + 3, and t + 5 event windows. Further, the authors use panel estimation to assess the link between the CARs and the investment exposure of the sample funds.FindingsThe findings highlight an adverse reaction of mutual funds in Russia, Ukraine, and the NATO States. On the contrary, the mutual funds in the countries that abstained during the voting on the UN resolution on March 2nd posted positive abnormal returns. Similarly, the investment exposure towards the conflicted countries and NATO states is unfavorable except for the abstained countries.Originality/valueThis is the primary study to evaluate the impact of the recent geopolitical tensions on mutual funds domiciled across various geographical locations.

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“…, 2016), investment choices (Banerjee and Dutta, 2022), firm stability (Phan et al. , 2022), and foreign exchange (Salisu et al. , 2022), among others.…”

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

Yarovaya

Mirza²

2022

JRF

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“…First, we extend the discussion on how geopolitical risk affects asset pricing. Earlier studies focused on currencies (Hui, 2021;Salisu et al, 2022), stocks (Salisu et al, 2021;Zaremba et al, 2022), bonds (Lee et al, 2021), and commodities (Baur and Smales, 2020;Chatziantoniou et al, 2021). To our knowledge, no one has explored the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies.…”

Section: Introductionmentioning

confidence: 99%

Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?

et al. 2022

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“…Exchange rate volatility is an essential feature for the valuation of options, investment decisions, and hedging options hence the instability of the exchange rate has been a vast discussion topic among academicians, policymakers, and investors in the financial markets (Caporale et al, 2015;Salisu, 2020). Many works of literature theoretically and empirically discuss the drives of the volatility of the exchange rate (Barunik et al, 2016;Benavides & Capistrán, 2012;Bush & López Noria, 2021;Rapach & Strauss, 2008).…”

Section: Introductionmentioning

confidence: 99%

“…Many works of literature theoretically and empirically discuss the drives of the volatility of the exchange rate (Barunik et al, 2016;Benavides & Capistrán, 2012;Bush & López Noria, 2021;Rapach & Strauss, 2008). affect the exchange rate volatility (Balcilar et al, 2018;Salisu, 2020).…”

Section: Introductionmentioning

confidence: 99%

Global and Country-Specific Geopolitical Risks and Exchange Rate Volatility: New Empirical Evidence from Indonesia

Khaliq

2022

j. ekon. terap.

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This paper investigates the conditional predictability of geopolitical risks (GPR) on the rupiah-dollar exchange rate volatility, using 447 monthly observations spanning January 1985 to March 2022. The paper utilizes asymmetric GARCH (1,1) combined with various asymmetric GARCH models, including the integrated GARCH (I-GARCH), the exponential GARCH (E-GARCH), and the threshold GARCH (T-GARCH), and the power asymmetric GARCH (A-PARCH). This study finds convincing evidence that GPRI has a consistent effect on exchange rate volatility, either symmetric GARCH models or asymmetric GARCH models. Interestingly, the global geopolitical risks (GPR) heterogeneously affect the exchange rate volatility of Indonesia. These empirical findings imply that the rupiah-dollar exchange rate volatility is more vulnerable to domestic GPRI than global GPR.

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Geopolitical risks and historical exchange rate volatility of the BRICS

Cited by 51 publications

References 61 publications

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?

Global and Country-Specific Geopolitical Risks and Exchange Rate Volatility: New Empirical Evidence from Indonesia

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