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The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis

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  • Helmi, Mohamad Husam
  • Elsayed, Ahmed H.
  • Khalfaoui, Rabeh

Abstract

We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies, we incorporate the GPR index to encompass the risk linked to conflict, acts of terrorism, and political tensions. In brief, our findings show that GPR emerges as a significant factor influencing market behavior, with distinct patterns observed across different time scales and trading horizons. Our results are beneficial for investors and portfolio managers to adopt more rational investment strategies and for policymakers to make appropriate policy arrangements.11Corresponding author: Ahmed H. Elsayed (ahmed.elsayed@uaeu.ac.ae)

Suggested Citation

  • Helmi, Mohamad Husam & Elsayed, Ahmed H. & Khalfaoui, Rabeh, 2024. "The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis," Finance Research Letters, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004100
    DOI: 10.1016/j.frl.2024.105380
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    Cited by:

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    2. Abedin, Mohammad Zoynul & Goldstein, Michael A. & Malhotra, Nidhi & Yadav, Miklesh Prasad, 2024. "Middle East conflict and energy companies: The effect of air and drone strikes on global energy stocks," Finance Research Letters, Elsevier, vol. 69(PA).

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    More about this item

    Keywords

    Geopolitical risk; Green bond; Clean energy; ESG; Wavelet; Cross-quantilogram;
    All these keywords.

    JEL classification:

    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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