Disentangling geopolitical risks: A quantile approach to geopolitical risk indices’ impacts on stock markets

Cumali Marangoz, Bekir Gerekan, Erdal Yılmaz and Emre Bulut

Finance Research Letters, 2025, vol. 77, issue C

Abstract: This study investigates the impact of Global Geopolitical Risk (GPR), along with the GPR indices of Russia and the US, on the returns of the world's nine largest stock markets using the quantile connectedness methodology and unfolds the heterogenous effects of geopolitical risks on market performance from 1992 to 2024. Our study provides a more comprehensive examination of geopolitical risk transmission across markets by incorporating country-specific GPR indices. Our findings show that regional proximity amplifies the effects of GPR. European indices are highly responsive to Russian GPR, North American markets to US GPR, and Asian markets to global trends.

Keywords: Stock exchange indices; Connectedness; Geopolitical risk indices; Quantile vector autoregression (QVAR); Financial performance (search for similar items in EconPapers)
JEL-codes: C32 D81 F36 G01 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003769

DOI: 10.1016/j.frl.2025.107113

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