Title

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.

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

Indexed in Scopus

no

Open Access

no

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