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Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

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  • Umar, Zaghum
  • Bossman, Ahmed
  • Choi, Sun-Yong
  • Teplova, Tamara

Abstract

We investigate the impact of geopolitical risk (GPR) generated by the Russian-Ukrainian conflict on European and Russian bonds, equity, and global commodity markets. We employ the GPR index and apply the quantile-on-quantile regression approach to the GRP index and financial asset returns. Our findings indicate that (i) most assets are in a mix of negative and positive relationship with GPR; (ii) GPR leads to changes in asset returns during normal market conditions; and (iii) the magnitude and direction of GPR's effect on asset returns depend on the type of market and market conditions.

Suggested Citation

  • Umar, Zaghum & Bossman, Ahmed & Choi, Sun-Yong & Teplova, Tamara, 2022. "Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression," Finance Research Letters, Elsevier, vol. 48(C).
    • Handle: RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002392
    DOI: 10.1016/j.frl.2022.102991
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    More about this item

    Keywords

    Quantile-on-quantile regression; geopolitical risk; bonds; equity; commodity; Russian-Ukrainian conflict;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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