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Hedging Global and Country-Specific Geopolitical Risks With South Korean Stocks - A Predictability Approach

Author

Listed:
  • Tirimisiyu F. Oloko
  • Abeeb O. Olaniran
  • Lukman A. Lasisi

    (Centre for Econometric & Allied Research, University of Ibadan, Nigeria)

Abstract

In this study, we examine the potential of South Korean stocks to hedge against global and country-specific geopolitical risks. A predictability approach with a feasible quasi generalized least square (FQGLS) estimator was employed. Our results reveal that global and country-specific geopolitical risks are good predictors of South Korean stock market returns. This implies that the South Korean stock market provides a good hedge against global and South Korean geopolitical risks.

Suggested Citation

  • Tirimisiyu F. Oloko & Abeeb O. Olaniran & Lukman A. Lasisi, 2021. "Hedging Global and Country-Specific Geopolitical Risks With South Korean Stocks - A Predictability Approach," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-5.
    • Handle: RePEc:ayb:jrnael:44
    DOI: 2021/10/06
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    References listed on IDEAS

    as
    1. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    2. Joakim Westerlund & Paresh Narayan, 2015. "Testing for Predictability in Conditionally Heteroskedastic Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 342-375.
    3. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2020. "The inflation hedging properties of gold, stocks and real estate: A comparative analysis," Resources Policy, Elsevier, vol. 66(C).
    4. Salisu, Afees A. & Akanni, Lateef O. & Vo, Xuan Vinh, 2021. "Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 150-159.
    5. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
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    Cited by:

    1. Niu, Jing & Ma, Chao & Wang, Yunpeng & Chang, Chun-Ping & Wang, Haijie, 2022. "The pricing of China stock index options based on monetary policy uncertainty," Journal of Asian Economics, Elsevier, vol. 81(C).
    2. 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).
    3. Rao, Yonghui & Hu, Zijiang & Sharma, Susan Sunila, 2021. "Do managers hedge disaster risk? Extreme earthquake shock and firm innovations," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).

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    More about this item

    Keywords

    geopolitical risk; south korean stocks; fqgls estimator;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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