Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression
- Authors
- Umar, Zaghum; Bossman, Ahmed; Choi, Sun-Yong; Teplova, Tamara
- Issue Date
- Aug-2022
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Quantile-on-quantile regression; geopolitical risk; bonds; equity; commodity; Russian-Ukrainian conflict
- Citation
- FINANCE RESEARCH LETTERS, v.48
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 48
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/85439
- DOI
- 10.1016/j.frl.2022.102991
- ISSN
- 1544-6123
- Abstract
- We investigate the impact of geopolitical risk (GPR) generated by the Russian-Ukrainian conflict on European and Russian bonds, equity, and global commodity markets. We employ the GPR index and apply the quantile-on-quantile regression approach to the GRP index and financial asset returns. Our findings indicate that (i) most assets are in a mix of negative and positive relationship with GPR; (ii) GPR leads to changes in asset returns during normal market conditions; and (iii) the magnitude and direction of GPR's effect on asset returns depend on the type of market and market conditions.
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