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Do geopolitical risks affect stock market returns and volatilities: an analysis based on the TVP-VAR model

Ahlem Lamine & Sirine Zribi

European Journal of Government and Economics2024https://doi.org/10.17979/ejge.2024.13.2.10168article
ABDC C
Weight
0.73

What the paper says

This study examines the effects of geopolitical risk (GPR) shocks on stock market returns and volatility across G7, BRICS, and Gulf countries, using a time-varying parameter vector autoregression (TVP-VAR) model. By analyzing responses over short, medium, and long-term horizons, our findings reveal significant variations in how geopolitical risks impact stock markets across different countries and timelines. We observe that GPR-related impacts on stock returns weaken over time, while volatility effects tend to strengthen, suggesting persistent risks for investors in these markets. These insights provide new perspectives for portfolio management and investment strategies during times of geopolitical uncertainty.

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https://doi.org/https://doi.org/10.17979/ejge.2024.13.2.10168

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@article{ahlem2024,
  title        = {{Do geopolitical risks affect stock market returns and volatilities: an analysis based on the TVP-VAR model}},
  author       = {Ahlem Lamine & Sirine Zribi},
  journal      = {European Journal of Government and Economics},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.17979/ejge.2024.13.2.10168},
}

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Evidence weight

0.73

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact1.00 × 0.4 = 0.40
M · momentum0.72 × 0.15 = 0.11
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.