The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis

Mohamad Husam Helmi, Ahmed Elsayed and Rabeh Khalfaoui

Finance Research Letters, 2024, vol. 64, issue C

Abstract: We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies, we incorporate the GPR index to encompass the risk linked to conflict, acts of terrorism, and political tensions. In brief, our findings show that GPR emerges as a significant factor influencing market behavior, with distinct patterns observed across different time scales and trading horizons. Our results are beneficial for investors and portfolio managers to adopt more rational investment strategies and for policymakers to make appropriate policy arrangements.11Corresponding author: Ahmed H. Elsayed (ahmed.elsayed@uaeu.ac.ae)

Keywords: Geopolitical risk; Green bond; Clean energy; ESG; Wavelet; Cross-quantilogram (search for similar items in EconPapers)
JEL-codes: G1 G15 H56 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004100

DOI: 10.1016/j.frl.2024.105380

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