Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail

David Neto

Finance Research Letters, 2025, vol. 73, issue C

Abstract: This note explores the impact of a country’s geopolitical risk (GPR) level on tail dependence between its stock market and that of the United States. To this end, we employ the tail dependence regression methodology proposed by Zhang et al. (2013). Our findings suggest that as a country’s geopolitical risk increases, its dependence on significant downturns in the US stock market decreases.

Keywords: Geopolitical risk; Tail dependence regression; Approximate Maximum Likelihood Estimator (AMLE) (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401691x

DOI: 10.1016/j.frl.2024.106662

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