Volatility Spillover among Geopolitical Risk, Oil Prices and Global Stock Returns in Advanced Economies

Chinmaya Behera, Pradiptarathi Panda and Purna Chandra Padhan
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Chinmaya Behera: Goa Institute of Management, Goa, India
Pradiptarathi Panda: Indian Institute of Management (IIM) Raipur, Chhattisgarh, India
Purna Chandra Padhan: XLRI, Xavier School of Management, Jamshedpur, India

American Business Review, 2026, vol. 29, issue 1, 125-144

Abstract: This study examines the volatility spillover effects among geopolitical risk, crude oil prices, and global stock returns across 39 developed economies. Employing the model-free connectedness approach on data spanning the time period from 24 March 2014 to 15 December 2023, the analysis exhibits significant volatility transmission among the three variables. For instance, 72.9% of a shock to one asset class spills over to all other assets within advanced markets. The study identifies Austria, Belgium, Finland, France, Ireland, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and Taiwan as key transmitters of shocks, while countries such as Chile, Cyprus, Iceland, Latvia, Qatar and Slovenia emerge as net recipients. Furthermore, the predictive model shows that oil prices have forecasting power for stock returns in most cases. Geopolitical risk also demonstrates predictive power, particularly in the case of Czech Republic, Greece, Iceland, the Netherlands, Qatar and Switzerland. Our findings offer valuable insights for investors to develop informed investment strategies in a climate of global uncertainties.

Keywords: Geopolitical Risk; Volatility Spillover; Interconnectedness; Crude Oil; Stock Returns (search for similar items in EconPapers)
JEL-codes: G10 P40 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:ris:ambsrv:022660

DOI: 10.37625/abr.29.1.125-144

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