Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns
Sign Up to like & getrecommendations! Published in 2020 at "Economic Analysis and Policy"
DOI: 10.1016/j.eap.2020.09.017
Abstract: Stock return predictability has always been one of the central themes of finance literature, given its crucial implications for investment decisions, risk management, and financial and monetary policymaking. This paper evaluates the in-sample and out-of-sample… read more here.
Keywords: oil returns; crude oil; stock; geopolitical risk ... See more keywords
Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2020.01.001
Abstract: Abstract This paper fills some empirical gaps by evaluating the causal associations among insurance premiums, real output, and geopolitical risk in BRICS (Brazil, Russia, India, China, South Africa) from 1985 to 2017. We utilize a… read more here.
Keywords: insurance; output geopolitical; real output; geopolitical risk ... See more keywords
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.104624
Abstract: Using a textual analysis based geopolitical risk (GPR) index, this paper exploits the effects of geopolitical risk uncertainty on oil futures price volatility within a mixed data sampling (MIDAS) modeling framework. With a variety of… read more here.
Keywords: index; uncertainty; volatility; geopolitical risk ... See more keywords
Does geopolitical risk promote mergers and acquisitions of listed companies in energy and electric power industries
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105115
Abstract: Abstract Based on Chinese firm-level panel data in energy and electric power industries from year 2007 to 2018, we adopt panel data OLS regression model to empirically study the impact of geopolitical risk (GPR) on… read more here.
Keywords: geopolitical risk; mergers acquisitions; power industries; energy electric ... See more keywords
Geopolitical risk and crude oil security: A Chinese perspective
Sign Up to like & getrecommendations! Published in 2020 at "Energy"
DOI: 10.1016/j.energy.2020.119555
Abstract: Abstract This paper employs the mixed-frequency vector autoregression (MF-VAR) to assess the causal relationship between geopolitical risk (GPR) and crude oil security (COS) for China. In contrast to prior papers, we regard GPR as an… read more here.
Keywords: crude oil; oil security; oil; geopolitical risk ... See more keywords
Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102310
Abstract: Abstract We evaluate the degree to which the geopolitical risk (GPR) index suggested in Caldara and Iacoviello (2018) helps improve the accuracy of one-month ahead out-of-sample point (density) forecasts of West Texas Intermediate (WTI) crude… read more here.
Keywords: geopolitical risk; accuracy; nonlinearity; crude oil ... See more keywords
On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities
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DOI: 10.1016/j.intfin.2021.101292
Abstract: Abstract We reveal the macroeconomic determinants of the dynamic correlations between three global asset markets: equities, real estate, and commodities. Conditional equicorrelations, computed by the GJR-GARCH-DECO model, are explained by the macro-financial proxies of economic… read more here.
Keywords: geopolitical risk; equities real; real estate; asset ... See more keywords
Does causality between geopolitical risk, tourism and economic growth matter? Evidence from Turkey
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Hospitality and Tourism Management"
DOI: 10.1016/j.jhtm.2019.09.002
Abstract: Abstract In recent times, the “Arab Spring” has seen most tourism-dependent economies such as Turkey experienced an unprecedented wave of political unrest which has impacted the outlook of the tourism industry significantly. To this effect,… read more here.
Keywords: tourism; economic growth; causality; geopolitical risk ... See more keywords
Information flow dynamics between geopolitical risk and major asset returns
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DOI: 10.1371/journal.pone.0284811
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… read more here.
Keywords: information; asset; information flow; term ... See more keywords
Assessing the Causality Relationship between the Geopolitical Risk Index and the Agricultural Commodity Markets
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DOI: 10.3390/risks11050084
Abstract: The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The… read more here.
Keywords: index; agricultural commodity; causality; risk ... See more keywords
Geopolitical Risk and Energy Transition in Russia: Evidence from ARDL Bounds Testing Method
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DOI: 10.3390/su12072689
Abstract: One of the current debatable global problems is climate change or global warming as crucial geopolitical risks. The progress of energy transition by considering geopolitical risk has not been considered seriously yet. This paper contributes… read more here.
Keywords: growth; energy transition; geopolitical risk; energy ... See more keywords