Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression
Source of Publication
Finance Research Letters
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.
Quantile-on-quantile regression, Geopolitical risk, Bonds, Equity, Commodity, Russian-Ukrainian conflict
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.
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