Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Umar, Zaghum | - |
dc.contributor.author | Bossman, Ahmed | - |
dc.contributor.author | Choi, Sun-Yong | - |
dc.contributor.author | Teplova, Tamara | - |
dc.date.accessioned | 2022-09-08T03:40:11Z | - |
dc.date.available | 2022-09-08T03:40:11Z | - |
dc.date.created | 2022-09-08 | - |
dc.date.issued | 2022-08 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/85439 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.relation.isPartOf | FINANCE RESEARCH LETTERS | - |
dc.title | Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000829919000019 | - |
dc.identifier.doi | 10.1016/j.frl.2022.102991 | - |
dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.48 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-85130607098 | - |
dc.citation.title | FINANCE RESEARCH LETTERS | - |
dc.citation.volume | 48 | - |
dc.contributor.affiliatedAuthor | Choi, Sun-Yong | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Quantile-on-quantile regression | - |
dc.subject.keywordAuthor | geopolitical risk | - |
dc.subject.keywordAuthor | bonds | - |
dc.subject.keywordAuthor | equity | - |
dc.subject.keywordAuthor | commodity | - |
dc.subject.keywordAuthor | Russian-Ukrainian conflict | - |
dc.subject.keywordPlus | SAFE HAVEN | - |
dc.subject.keywordPlus | CAUSALITY | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | BONDS | - |
dc.subject.keywordPlus | GOLD | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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