Source of Publication
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.
Public Library of Science (PLoS)
Global financial assets, Information flow, Geopolitical risk, Russian-Ukrainian conflict, Transfer entropy
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Umar, Zaghum; Bossman, Ahmed; Choi, Sun Yong; and Vo, Xuan Vinh, "Information flow dynamics between geopolitical risk and major asset returns" (2023). All Works. 5858.
Indexed in Scopus
Open Access Type
Gold: This publication is openly available in an open access journal/series