The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk

Asil Azimli and Demet Beton Kalmaz

Economic Systems, 2025, vol. 49, issue 1

Abstract: We investigated the time and frequency connectedness between Russia’s geopolitical risk (R-GPR) and the high-order moments (volatility, skewness, and kurtosis) of equity markets in eight countries: U.S., Belgium, France, Germany, U.K., Italy, Switzerland, and Spain. Our findings showed that R-GPR and realized volatility co-move in the short- and medium-term frequency bands during wartime, except in the U.S. and U.K. markets. Concerning realized skewness, significant co-movements were observed between R-GPR and Belgium and Germany during the short- and medium-frequency bands, implying that higher skewness (crash risk) was associated with higher R-GPR. Contrastingly, the realized kurtosis and R-GPR were connected at a long-term frequency. Finally, R-GPR negatively led to realized kurtosis in the U.S. market, implying the U.S. market’s hedging potential for fat-tail risk. Our results provide essential insights into the investment and risk-management practices of market participants with different investment horizons.

Keywords: Geopolitical risk; Higher moments; Russia–Ukraine war (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000645

DOI: 10.1016/j.ecosys.2024.101242

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