Information flow dynamics between geopolitical risk and major asset returns

Zaghum Umar, Ahmed Bossman, Sun-Yong Choi and Xuan Vinh Vo

PLOS ONE, 2023, vol. 18, issue 4, 1-14

Abstract: We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the Russian-Ukrainian conflict. We combine transfer entropy and the I-CEEMDAN framework to measure information flows at multi-term scales. Our empirical results indicate that (i) in the short term, crude oil and Russian equity show opposite responses to GPR; (ii) in the medium and long term, GPR information increases the risk in the financial market; and (iii) the efficiency of the financial asset markets can be confirmed on a long-term scale. These findings have important implications for market participants, such as investors, portfolio managers, and policymakers.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0284811

DOI: 10.1371/journal.pone.0284811

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