Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies

Hoque, Mohammad Enamul; Zaidi, Mohd Azlan Shah

doi:10.1016/j.bir.2020.05.001

Cited by 92 publications

(50 citation statements)

References 39 publications

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“…These findings by Kaya et al (2014), Lehkonen and Heimonen (2015) are consistent with the study by Vargas and Silva (2019), which examines the impact of political risk on equity markets. Similarly, the empirical results are consistent with the findings of Bezgin (2019) and Hoque and Zaidi (2020) study which examine the impact of geopolitical risk on stock markets. Another conclusion drawn from the results relates to the level of the negative impact of political risk and geopolitical risk on equity markets.…”

Section: Extended Summary How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economiessupporting

confidence: 89%

How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economies

Doğan

Afşar

2021

Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi

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Bu çalışmada yükselen piyasa ekonomilerinde politik risk ve jeopolitik risklerin hisse senedi piyasaları üzerindeki etkileri araştırılmıştır. Çalışmada 2005-2018 yılları arasındaki verileri içeren panel veri seti kullanılmıştır. Ekonometrik yöntem olarak Temel Bileşenler Analizi (PCA) yöntemi ve Parks-Kmenta Tahmincisi kullanılmıştır. Elde edilen bulgulara göre, politik risk ve jeopolitik risk ile hisse senedi piyasaları arasında negatif ve istatistiki olarak anlamlı bir ilişki olduğu gözlemlenmiştir. Bu bağlamda, bu çalışmanın bulguları, yükselen piyasalar ekonomilerine yönelik yüksek risk algılarının hem yerli hem de yabancı yatırımcıların hisse senedi piyasalarına yapacakları yatırımları sınırlandırdığını ifade etmektedir.

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Section: Extended Summary How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economiessupporting

confidence: 89%

How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economies

Doğan

Afşar

2021

Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi

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“…A dynamic conditional correlation (DCC) model shows a persistence volatility in both oil and stock markets in short-and long-term. Hoque and Zaidi (2020) argues that the relationship between GPRs and stock returns might be nonlinear. Therefore, they use a three-regime Markov-switching approach to examine nonlinear effects of GPRs on stock returns using a sample of five emerging economies.…”

Section: Geopolitical Risks and Stock Market Returnmentioning

confidence: 99%

Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk

El-Sayed

Helmi

2021

Ann Oper Res

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This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in Middle East and North African (MENA) countries by using an ADCC-GARCH model and a spillover approach. Unlike previous studies, we include the GPR index to capture risk associated with wars, terrorist acts, and political tensions. Moreover, we test for both static and dynamic analysis using a rolling window. In brief, the findings highlight that GPR does not contribute to the return spillovers among MENA financial markets. However, the dynamic analysis provides evidence of the high level of responsiveness of the total spillover index to major political events (e.g., the Arab Spring uprising and political tension between Qatar and other Gulf Cooperation Council countries). More interestingly, Qatar, Kingdom of Saudi Arabia, and the United Arab Emirates are identified as the main transmitters of return spillovers to the rest of the MENA markets. Overall, our results are essential in understanding the impact of the GPR on return spillover among MENA countries, and are of particular importance to policymakers, market regulators, portfolio managers and investors.

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“…Moreover, the exchange rate system in India has transited from a fixed exchange rate regime to the present form of freely determined exchange rate regime since 1993, while Brazil and South Africa adopted a floating exchange rate regime in 1999 and 2000, respectively. Although there are some attempts to analyze the impact of GPR on stock returns and volatility in emerging countries (Balcilar et al, 2016;Ferreira et al, 2018;Ramiah and Graham, 2013;Redl, 2018;Hoque and Zaidi, 2020), they do not study the impact on exchange rate volatility.…”

Section: Introductionmentioning

confidence: 99%

Geopolitical risks and historical exchange rate volatility of the BRICS

Salisu

Cuñado

Gupta

2022

International Review of Economics & Finance

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Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies

Cited by 92 publications

References 39 publications

How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economies

How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economies

Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk

Geopolitical risks and historical exchange rate volatility of the BRICS

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