Geopolitical risk and volatility spillovers in oil and stock markets

Citations

Cited by:

1. Bouri, Elie & Hammoud, Rami & Kassm, Christina Abou, 2023. "The effect of oil implied volatility and geopolitical risk on GCC stock sectors under various market conditions," Energy Economics, Elsevier, vol. 120(C).
2. Będowska-Sójka, Barbara & Demir, Ender & Zaremba, Adam, 2022. "Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
3. Yang, Yang & Liu, Zhen & Saydaliev, Hayot Berk & Iqbal, Sajid, 2022. "Economic impact of crude oil supply disruption on social welfare losses and strategic petroleum reserves," Resources Policy, Elsevier, vol. 77(C).
4. Lorente, Daniel Balsalobre & Mohammed, Kamel Si & Cifuentes-Faura, Javier & Shahzad, Umer, 2023. "Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective," Renewable Energy, Elsevier, vol. 204(C), pages 94-105.
5. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
6. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
7. Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
8. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
9. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben, 2023. "Investigating the dynamics of crude oil and clean energy markets in times of geopolitical tensions," Energy Economics, Elsevier, vol. 124(C).
10. Arango-Castillo, Lenin & Orraca, María José & Molina, G. Stefano, 2023. "The global component of headline and core inflation in emerging market economies and its ability to improve forecasting performance," Economic Modelling, Elsevier, vol. 120(C).
11. Liu, Zhichao & Xu, Xiulian & Cheng, Ya & Xie, Xuan, 2023. "Geopolitical risk of oil export and import countries and oil futures volatility: Evidence from dynamic model average methods," Finance Research Letters, Elsevier, vol. 54(C).
12. Tang, Yumei & Chen, Xihui Haviour & Sarker, Provash Kumer & Baroudi, Sarra, 2023. "Asymmetric effects of geopolitical risks and uncertainties on green bond markets," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
13. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "Trade matters except to war neighbors: The international stock market reaction to 2022 Russia’s invasion of Ukraine," Research in International Business and Finance, Elsevier, vol. 65(C).
14. Yang, Jianlei & Yang, Chunpeng, 2021. "The impact of mixed-frequency geopolitical risk on stock market returns," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 226-240.
15. Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
16. Sheenan, Lisa, 2023. "Green bonds, conventional bonds and geopolitical risk," Finance Research Letters, Elsevier, vol. 58(PC).
    • Sheenan, Lisa, 2023. "Green Bonds, Conventional Bonds and Geopolitical Risk," QBS Working Paper Series 2023/05, Queen's University Belfast, Queen's Business School.
17. Gu, Xin & Zhu, Zixiang & Yu, Minli, 2021. "The macro effects of GPR and EPU indexes over the global oil market—Are the two types of uncertainty shock alike?," Energy Economics, Elsevier, vol. 100(C).
18. Ben Nouir, Jihed & Ben Haj Hamida, Hayet, 2023. "How do economic policy uncertainty and geopolitical risk drive Bitcoin volatility?," Research in International Business and Finance, Elsevier, vol. 64(C).
19. Zhang, Zhengyong & Bouri, Elie & Klein, Tony & Jalkh, Naji, 2022. "Geopolitical risk and the returns and volatility of global defense companies: A new race to arms?," International Review of Financial Analysis, Elsevier, vol. 83(C).
20. Ahmed H. Elsayed & Mohamad Husam Helmi, 2021. "Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk," Annals of Operations Research, Springer, vol. 305(1), pages 1-22, October.
21. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
22. Umar B. Ndako & Afees A. Salisu & Muritala O. Ogunsiji, 2021. "Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia - A GARCH-MIDAS Approach," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-5.
23. Zhao, Jing, 2022. "Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach," Resources Policy, Elsevier, vol. 79(C).
24. Li, Sufang & Tu, Dalun & Zeng, Yan & Gong, Chenggang & Yuan, Di, 2022. "Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data," Energy Economics, Elsevier, vol. 113(C).
25. Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
26. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Lasisi, Lukman & Olaniran, Abeeb, 2022. "Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
27. He, Zhifang, 2023. "Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
28. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, vol. 79(C).
29. Choi, Sun-Yong, 2022. "Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries," Finance Research Letters, Elsevier, vol. 46(PB).
30. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
31. Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022. "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, vol. 111(C).
32. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 229-242.
33. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).