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