Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

被引：100
|
作者：
Umar, Zaghum [1 ]
Bossman, Ahmed [2 ]
Choi, Sun-Yong [3 ]
Teplova, Tamara [4 ]
机构：
[1] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates
[2] Univ Cape Coast, Sch Business, Dept Finance, Cape Coast, Ghana
[3] Gachon Univ, Dept Financial Math, Seongnam 13120, South Korea
[4] Natl Res Univ Higher Sch Econ, Moscow, Russia
来源：
FINANCE RESEARCH LETTERS | 2022年 / 48卷
基金：
新加坡国家研究基金会;
关键词：
Quantile-on-quantile regression; geopolitical risk; bonds; equity; commodity; Russian-Ukrainian conflict; SAFE HAVEN; CAUSALITY; MARKET; BONDS; GOLD;
D O I：
10.1016/j.frl.2022.102991
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the impact of geopolitical risk (GPR) generated by the Russian-Ukrainian conflict on European and Russian bonds, equity, and global commodity markets. We employ the GPR index and apply the quantile-on-quantile regression approach to the GRP index and financial asset returns. Our findings indicate that (i) most assets are in a mix of negative and positive relationship with GPR; (ii) GPR leads to changes in asset returns during normal market conditions; and (iii) the magnitude and direction of GPR's effect on asset returns depend on the type of market and market conditions.
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页数：8
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