Geopolitical risk and oil volatility: A new insight

Liu, Jing; Ma, Feng; Tang, Yongkai; Zhang, Yaojie

doi:10.1016/j.eneco.2019.104548

Cited by 205 publications

(75 citation statements)

References 47 publications

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“…Besides the impact of GPR has on the volatility of stocks in a given industry, some researchers turn their research interest to the general impact of the GPR on the stock price index [7,8,11,26,46] and the specific role of GPR in different countries [47]. Moreover, previous studies provided some evidence that GPR has an impact on alternative investment such as gold and crude oil [25,[48][49][50].…”

Section: Literature Reviewmentioning

confidence: 99%

Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model

Yang

Zhang

et al. 2021

Discrete Dynamics in Nature and Society

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Previous studies have found that geopolitical risk (GPR) caused by geopolitical events such as terrorist attacks can affect the movements of asset prices. However, the studies on whether and how these influences can explain and predict the volatility of stock returns in emerging markets are scant and emerging. By using the data from China’s CSI 300 index, we provide some evidence on whether and how the GPR factors can explain and forecast the volatility of stock returns in emerging economies. We employed the GARCH-MIDAS model and the model confidence set (MCS) to investigate the mechanism of GPR’s impact on the China stock market, and we considered the GPR index, geopolitical action index, geopolitical threat index, and different country-specific GPR indices. The empirical results suggest that except for a few emerging economies such as Mexico, Argentina, Russia, India, South Africa, Thailand, Israel, and Ukraine, the global and most of the regional GPR have a significant impact on China’s stock market. This paper provides some evidence for the different effects of GPR from different countries on China’s stock market volatility. As for predictive potential, GPRAct (geopolitical action index) has the best predictive power among all six types of GPR indices. Considering that GPR is usually unanticipated, these findings shed light on the role of the GPR factors in explaining and forecasting the volatility of China’s market returns.

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Section: Literature Reviewmentioning

confidence: 99%

Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model

Yang

Zhang

et al. 2021

Discrete Dynamics in Nature and Society

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“…We not only select the GEPU index, but also the EPU indexes of 3 major net-oil exporting countries (Russia, Canada, and Brazil) and 3 major net-oil importing countries (China, the United States, and Japan). Second, geopolitical factor can lead to differences in crude oil exporting countries' expectations of future oil supply and demand, and influence current oil inventory decisions and prices [13,17,19,[40][41][42]. Hence, we refer to Caldara and Iacovielloz [43], Liu et al [17], Miao et al [44], and use the global GPR to measure geopolitical factor.…”

Section: Data Descriptionmentioning

confidence: 99%

“…Second, geopolitical factor can lead to differences in crude oil exporting countries' expectations of future oil supply and demand, and influence current oil inventory decisions and prices [13,17,19,[40][41][42]. Hence, we refer to Caldara and Iacovielloz [43], Liu et al [17], Miao et al [44], and use the global GPR to measure geopolitical factor. Third, some empirical results propose the viewpoint that market supply and demand decide the price of crude oil [14,15,45].…”

Section: Data Descriptionmentioning

confidence: 99%

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Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation

et al. 2020

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Due to multiple properties, the international crude oil price is influenced by various and complex interrelated factors from different determinants in different periods. However, the previous studies on crude oil price fluctuation with economic policy uncertainty (EPU) haven’t taken a wider range of volatility sources into their analysis frameworks. In this paper, the time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is introduced in order to avoid important information loss, as well as capture the time-varying impact on crude oil price fluctuation by EPU. Furthermore, the differences on crude oil fluctuations from net-oil exporting and net-oil importing country’s EPU are also elaborated. Here are three findings as follows. First, the impacts of global EPU on the crude oil price volatility show time-varying characteristics both in time duration and time-points. Second, the instantaneous impacts of global EPU on the price volatility of crude oil are directly relevant to major events, and the impacts are different in event types as well. Third, the time-varying characteristics depicting the impacts of EPU in countries who are net-oil exporter and net-oil importer on price volatility of crude oil show heterogeneity in fluctuation range, fluctuation intensity, and stage.

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“…Third, the spread of an epidemic between countries hinders their energy security through geopolitical factors (Liu et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Impacts of Epidemics on Energy Security: An Empirical Analysis

Zhang

Deng

2021

Energy RESEARCH LETTERS

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Geopolitical risk and oil volatility: A new insight

Cited by 205 publications

References 47 publications

Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model

Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model

Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation

Impacts of Epidemics on Energy Security: An Empirical Analysis

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