Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries

Sun-Yong Choi

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: This study conducted partial and multiple wavelet coherence analysis to investigate the impact of geopolitical risks(GPR) on the volatility of stock indices in North-East Asian countries, namely South Korea, Japan, and China. We employed the GPR and Korea GPR indices to assess these risks. The empirical findings reveal (i) a strong interdependence between the GPR and the volatility of the three stock markets in the short term; (ii) the stock markets of South Korea and Japan have more co-movement with the GPR, rather than the KGPR; and (iii) the GPR index and volatility have a time dependent relationship.

Keywords: Geopolitical risk; North-East Asian economy; Volatility; Wavelet Coherence Analysis (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004451

DOI: 10.1016/j.frl.2021.102465

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