Geopolitical risk and stock market volatility: A global perspective

Yaojie Zhang, Jiaxin He, Mengxi He and Shaofang Li

Finance Research Letters, 2023, vol. 53, issue C

Abstract: This paper investigates the relationship between geopolitical risk (GPR) and stock market volatility from a global perspective. We use dynamic panel data including 32 countries and regions and the bias-corrected least-squares dummy variable (LSDV) estimator. Empirical results show that GPR has a significant positive effect on stock market volatility, which is not affected by control variables. Moreover, we find that the effect of GPR on stock market volatility is more significant for emerging economies, crude oil exporters, and countries at peace. Our study provides new evidence for the relationship between GPR and stock market volatility.

Keywords: Geopolitical risk; Stock market volatility; Global perspective; Dynamic panel data; LSDV estimator (search for similar items in EconPapers)
JEL-codes: C21 C58 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007966

DOI: 10.1016/j.frl.2022.103620

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