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Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian – Ukraine War

Author

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  • Muneer Shaik
  • Syed Ahsan Jamil
  • Iqbal Thonse Hawaldar
  • Mohammad Sahabuddin
  • Mustafa Raza Rabbani
  • Mohd Atif

Abstract

The study uses wavelet power spectrum and wavelet coherence transformation methodologies to examine how geopolitical risk affected the returns on stocks, oil, and gold during the GFC, COVID-19, and Russia-Ukraine war-three disruptive events that affected the world’s financial markets. For better diversification benefits during the turbulent times, we further investigate the degree of co-movement in frequency and time domains. We observe that GPR has high variations during Russia-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period. WTI crude oil and DJGI indexes are observed to have high variations during GFC, and COVID-19 periods followed by Russia-Ukraine war. We further observe that GOLD offers better diversification opportunity as well as leading movement against WTI and DJGI during disruptive events in financial markets. The results provide new understanding of how geopolitical risk affects financial assets for international investors, fund managers, and regulators, which would further aid to find risky and safer haven possibilities during the turmoil periods.

Suggested Citation

  • Muneer Shaik & Syed Ahsan Jamil & Iqbal Thonse Hawaldar & Mohammad Sahabuddin & Mustafa Raza Rabbani & Mohd Atif, 2023. "Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian – Ukraine War," Cogent Economics & Finance, Taylor & Francis Journals, vol. 11(1), pages 2190213-219, December.
    • Handle: RePEc:taf:oaefxx:v:11:y:2023:i:1:p:2190213
    DOI: 10.1080/23322039.2023.2190213
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    Cited by:

    1. Hoque, Mohammad Enamul & Sahabuddin, Mohammad & Bilgili, Faik, 2024. "Volatility interconnectedness among financial and geopolitical markets: Evidence from COVID-19 and Ukraine-Russia crises," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 303-320.
    2. Bouri, Elie & Gök, Remzi & Gemi̇ci̇, Eray & Kara, Erkan, 2024. "Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 137-154.
    3. Naeem, Muhammad Abubakr & Arfaoui, Nadia, 2023. "Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises," Energy Economics, Elsevier, vol. 127(PB).
    4. Zargar, Faisal Nazir & Mohnot, Rajesh & Hamouda, Foued & Arfaoui, Nadia, 2024. "Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets," Resources Policy, Elsevier, vol. 92(C).
    5. Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2024. "Could the Russia-Ukraine war stir up the persistent memory of interconnectivity among Islamic equity markets, energy commodities, and environmental factors?," Research in International Business and Finance, Elsevier, vol. 69(C).

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