Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Ahmed Bossman, University of Cape Coast
Sun-Yong Choi, Gachon University
Tamara Teplova, National Research University Higher School of Economics

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

8-1-2022

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.

DOI Link

10.1016/j.frl.2022.102991

ISSN

1544-6131

Publisher

Elsevier BV

Volume

48

First Page

102991

Last Page

102991

Disciplines

Business

Keywords

Quantile-on-quantile regression, Geopolitical risk, Bonds, Equity, Commodity, Russian-Ukrainian conflict

Scopus ID

85130607098

Recommended Citation

Umar, Zaghum; Bossman, Ahmed; Choi, Sun-Yong; and Teplova, Tamara, "Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression" (2022). All Works. 5144.
https://zuscholars.zu.ac.ae/works/5144

Indexed in Scopus

yes

Open Access

no