The world stock markets under geopolitical risks: Dependence structure

Lee, Jong‐Eun

doi:10.1111/twec.12731

Cited by 30 publications

(5 citation statements)

References 16 publications

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“…Therefore, this situation makes food transportation and the markets in Eastern Europe. Our findings contradict Lee (2019) and Mitsas et al. (2022), who opine that geopolitical risk events are the driving forces of volatile commodity markets.…”

Section: Resultscontrasting

confidence: 99%

Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war

Sohag

Islam

Žiković

et al. 2022

BFJ

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PurposeThe study's objective is to measure the response of the food prices to the aggregate and disaggregate geopolitical risk events, Russia's geopolitical risks and global energy prices in the context of two European regions, i.e. Eastern and Western Europe covering the monthly data from January 2001 to March 2022.Design/methodology/approachThe authors apply a novel and sophisticated econometric method, the cross-quantilogram (CQ) approach, to analyse the authors’ monthly data properties. This method detects the causal relationship between the variables under the bi-variate modelling approach. More importantly, the CQ procedure divulges the bearish and bullish states of the causal association between the variables under short, medium and long memories.FindingsThe authors find that aggregate measures of geopolitical risk reduce food prices in the short term in the Eastern Europe but increases food prices in the Western Europe. Besides, the decomposed measures of geopolitical risk “threats” and “acts” have heterogeneous effects on the food prices. More importantly, Russia's geopolitical risk events and global energy prices enhance the food inflation under long memory.Research limitations/implicationsThe authors provide diverse policy implications for Eastern and Western Europe based on the authors’ findings. First, the European policymakers should take concrete and joint policy measures to tackle the detrimental effects of geopolitical risks to bring stability to the food markets. Second, this region should emphasize utilizing their unused agricultural lands to grow more crops to avoid external dependence on food. Third, the European Union and its partners should begin global initiatives to help smallholder farmers because of their contribution to the resilience of disadvantaged, predominantly rural communities. Fourth, geopolitically affected European countries like Ukraine should deal with a crippled supply chain to safeguard their production infrastructure. Fifth, fuel (oil) scarcity in the European region due to the Russia-Ukraine war should be mitigated by searching for alternative sources (countries) for smooth food transportation for trade. Finally, as Europe and its Allies impose new sanctions in response to the Russia-Ukraine war, it can have immediate and long-run disastrous consequences on the European and the global total food systems. In this case, all European blocks mandate cultivating stratagems to safeguard food security and evade a long-run cataclysm with multitudinous geopolitical magnitudes for European countries and the rest of the world.Originality/valueThis is the maiden study that considers the aggregated and disaggregated measures of the geopolitical risk events, Russia's geopolitical risks and global energy prices and delves into these dynamics' effects on food prices. Notably, linking the context of the Russia-Ukraine war is a significant value addition to the existing piece of food literature.

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Section: Resultscontrasting

confidence: 99%

Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war

Sohag

Islam

Žiković

et al. 2022

BFJ

View full text Add to dashboard Cite

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“…Increasing GPRs are often more unexpected and unfavourable to the proper performance of the national economic situation and reflected on financial markets, such as stocks, commodities and exchange prices (Lee, 2019; Aysan et al , 2019; Demirer et al , 2019; Park and Park, 2020; Li et al , 2020). There have been widespread discussions about GPR’s relationships with crude-oil and currency markets, and a significant relationship has been found based on various geopolitical indices (Caldara and Iacoviello, 2018; Liu et al , 2019; Bouoiyour et al , 2019; Das et al , 2019; Hedström et al , 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility spillovers among Islamic countries and geopolitical risk

Rajput

Memon

Siyal

et al. 2023

JIABR

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Purpose This paper aims to test for volatility spillovers among Islamic stock markets with the exogenous impact of geopolitical risk (GPR) to check the risk transmission among Saudi Arabia, Malaysia, Indonesia and Turkey. Researchers test for both the symmetric and asymmetric risk transmission. Design/methodology/approach For the symmetric response of volatility, the study uses simple generalized autoregressive conditional heteroscedastic (GARCH) and for the asymmetric response of volatility with the exogenous impact of GPR, the exponential GARCH models have been adopted. Findings The results suggest spillover effects exist from Turkey to Saudi Arabia, Indonesia to Malaysia and Saudi Arabia and Malaysia to Indonesia. The findings of volatility spillover from GPR to sample countries suggest that only Malaysia and Indonesia experience volatility spillovers from GPR. Research limitations/implications The present study is limited to the context of four countries and Islamic equities; the study contributes to the literature on volatility spillover, Islamic finance, GPR and asset pricing. Practical implications This study contributes to individual, institutional investors’ policymakers’ knowledge in determining security prices, trading plans, investment hedging and policy regulation. Social implications The extant literature disregards the GPR index to examine the volatility spillover effects among Islamic stock markets, which allow researchers to justify the mechanism of risk transmission due to GPR across the Islamic stock market. Originality/value To the best of the authors’ knowledge, this is the first research of its type to look at volatility spillover and GPR transmission in Islamic stock markets.

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“…Jeopolitik riskin borsa endekslerine etkisine yönelik gerçekleştirilen nedensellik testinin sonuçları ise Jeopolitik Risk Endeksi'nin Brezilya ve Hindistan borsalarının nedeni olduğunu göstermiştir. Lee (2019), 1997-2017 dönemi için jeopolitik risk ve otuz yedi dünya borsasının stokastik davranışları arasındaki ilişkiyi araştırmıştır. İki değişkenli copula yaklaşımına göre kuyruk bağımlılığı daha az olan ülke borsalarının performansının jeopolitik risk ile daha fazla ilişkili olduğu sonucuna varılmıştır.…”

Section: Literatür İncelemesiunclassified

Jeopolitik Riskin Pay Senedi Fiyatlarına Etkisinin Fourier Yaklaşımıyla Değerlendirilmesi: Türkiye Örneği(Evaluation with Fourier Approach of the Effect of Geopolitical Risk on Stock Prices: The Case of Turkey)

Gülcan¹,

Ceyhan²

2022

isarder

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Amaç –Finansal serbestleşme süreci uluslararası sermaye akımlarını hızlandırmıştır. Ancak ülkelerde belli dönemlerde ortaya çıkan birtakım ekonomik ve siyasi belirsizlikler sonucunda finansal hareketlilik yavaşlamaktadır. Türkiye’nin siyasi ve ekonomik yönden bağlantılı olduğu ülkelerde son yıllarda yaşanan askeri çatışmalar, ekonomik krizler, politik ve toplumsal huzursuzluklar gibi birçok faktörün Türkiye’deki ekonomik faaliyetlerin gelişimini ve yatırım hacmini olumsuz etkilediği yönünde bir kanaat hakimdir. Bu çerçevede çalışmanın amacıTürkiye jeopolitik riskinin Borsa İstanbul sektör pay senedi fiyatlarına etkisini analiz etmektir.Yöntem –Araştırmada Türkiye jeopolitik risk göstergesi olarak Jeopolitik Risk Endeksi, Borsa İstanbul sektör pay senedi olarakBorsa İstanbul Bankalar, Elektrik, Leasing ve Factoring, Yiyecek&İçecek, Holding&Yatırımlar, Odun, Kağıt&Baskı, Kimyasal, Petrol&Plastik, Metal Ana, Metal Ürünleri&Makineler, Sigorta, Metal Harici Mineral Ürünleri, Toptan Satış&Perakende Ticaret, Tekstil&Deri, Turizm, Hizmet, Ulaştırma, Finansallar, Sınai endeksleri ve Borsa İstanbul 100 Endeksi dikkate alınmıştır. Çalışma kapsamı Mart 1997-Şubat 2022 dönemi aylık verilerinden oluşturulmuş ve bu veriler Fourier Toda-Yamamoto nedensellik testiyle analiz edilmiştir. Bulgular –Çalışmanın sonucunda Türkiye jeopolitik riskinin Borsa İstanbul 100, Leasing ve Factoring, Yiyecek&İçecek, Holding&Yatırımlar, Kimyasal, Petrol&Plastik, Metal Ana, Metal Ürünleri&Makineler, Toptan Satış&Perakende Ticaret, Hizmet, Ulaştırma ve Sınai pay senedi fiyatları üzerinde etkisi olduğu bulgusuna ulaşılmıştır.Tartışma –Çalışmada ulaşılan sonuçlar, sektörlerin jeopolitik gerilimlere karşı duyarlılık derecelerinin farklı düzeylerde olduğuna işaret etmektedir. Potansiyel pay senedipiyasası yatırımcılarının portföy oluşturma aşamasında sektörlerin jeopolitik risklerden etkilenme durumlarını da göz önüne almaları, karlarını yüksek düzeye çıkarmaları bakımından önemlidir. Yatırımcıların Türkiye’ye çekilebilmesi için ülkenin dış ilişkilerde jeopolitik risk doğuracak gerginliklerden kaçınması, siyasi, askeri ve iktisadi yönlerden zaman içinde gerçekleşen olayları demokratik ve insani yollarla çözmeye çalışması ve potansiyel yatırımcılar için güven ortamı inşa etmesi gerekmektedir.

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The world stock markets under geopolitical risks: Dependence structure

Cited by 30 publications

References 16 publications

Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war

Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war

Volatility spillovers among Islamic countries and geopolitical risk

Jeopolitik Riskin Pay Senedi Fiyatlarına Etkisinin Fourier Yaklaşımıyla Değerlendirilmesi: Türkiye Örneği(Evaluation with Fourier Approach of the Effect of Geopolitical Risk on Stock Prices: The Case of Turkey)

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