Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

Zaghum Umar, Ahmed Bossman, Sun-Yong Choi and Tamara Teplova

Finance Research Letters, 2022, vol. 48, issue C

Abstract: We investigate the impact of geopolitical risk (GPR) generated by the Russian-Ukrainian conflict on European and Russian bonds, equity, and global commodity markets. We employ the GPR index and apply the quantile-on-quantile regression approach to the GRP index and financial asset returns. Our findings indicate that (i) most assets are in a mix of negative and positive relationship with GPR; (ii) GPR leads to changes in asset returns during normal market conditions; and (iii) the magnitude and direction of GPR's effect on asset returns depend on the type of market and market conditions.

Keywords: Quantile-on-quantile regression; geopolitical risk; bonds; equity; commodity; Russian-Ukrainian conflict (search for similar items in EconPapers)
JEL-codes: C22 F30 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002392

DOI: 10.1016/j.frl.2022.102991

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