Information flow dynamics between geopolitical risk and major asset returnsopen access
- Authors
- Umar, Zaghum; Bossman, Ahmed; Choi, Sun-Yong; Vo, Xuan Vinh
- Issue Date
- Apr-2023
- Publisher
- PUBLIC LIBRARY SCIENCE
- Citation
- PLOS ONE, v.18, no.4
- Journal Title
- PLOS ONE
- Volume
- 18
- Number
- 4
- URI
- https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/88329
- DOI
- 10.1371/journal.pone.0284811
- ISSN
- 1932-6203
- Abstract
- We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the Russian-Ukrainian conflict. We combine transfer entropy and the I-CEEMDAN framework to measure information flows at multi-term scales. Our empirical results indicate that (i) in the short term, crude oil and Russian equity show opposite responses to GPR; (ii) in the medium and long term, GPR information increases the risk in the financial market; and (iii) the efficiency of the financial asset markets can be confirmed on a long-term scale. These findings have important implications for market participants, such as investors, portfolio managers, and policymakers.
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