Information flow dynamics between geopolitical risk and major asset returns
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Umar, Zaghum | - |
dc.contributor.author | Bossman, Ahmed | - |
dc.contributor.author | Choi, Sun-Yong | - |
dc.contributor.author | Vo, Xuan Vinh | - |
dc.date.accessioned | 2023-06-30T14:41:47Z | - |
dc.date.available | 2023-06-30T14:41:47Z | - |
dc.date.created | 2023-06-22 | - |
dc.date.issued | 2023-04 | - |
dc.identifier.issn | 1932-6203 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/88329 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | PUBLIC LIBRARY SCIENCE | - |
dc.relation.isPartOf | PLOS ONE | - |
dc.title | Information flow dynamics between geopolitical risk and major asset returns | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000984483800060 | - |
dc.identifier.doi | 10.1371/journal.pone.0284811 | - |
dc.identifier.bibliographicCitation | PLOS ONE, v.18, no.4 | - |
dc.description.isOpenAccess | Y | - |
dc.identifier.scopusid | 2-s2.0-85153900225 | - |
dc.citation.title | PLOS ONE | - |
dc.citation.volume | 18 | - |
dc.citation.number | 4 | - |
dc.contributor.affiliatedAuthor | Choi, Sun-Yong | - |
dc.type.docType | Article | - |
dc.subject.keywordPlus | DECOMPOSITION | - |
dc.relation.journalResearchArea | Science & Technology - Other Topics | - |
dc.relation.journalWebOfScienceCategory | Multidisciplinary Sciences | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
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