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Geopolitical risks and the oil-stock nexus over 1899–2016

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Listed:
  • Antonakakis, Nikolaos
  • Gupta, Rangan
  • Kollias, Christos
  • Papadamou, Stephanos

Abstract

Markets are invariably influenced and affected not only by the usual array of economic and financial factors, but also by uncertainty inducing shocks. Using monthly stock and oil data that spans over a century, this study takes a long historical perspective on whether the time-varying stock–oil covariance, their returns and their variances are affected by geopolitical risk, as encapsulated and quantified by a recently developed index (Caldara and Iacoviello, 2016). The results reveal that geopolitical risk triggers a negative effect, mainly on oil returns and volatility, and to a smaller degree on the covariance between the two markets.

Suggested Citation

  • Antonakakis, Nikolaos & Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos, 2017. "Geopolitical risks and the oil-stock nexus over 1899–2016," Finance Research Letters, Elsevier, vol. 23(C), pages 165-173.
  • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173
    DOI: 10.1016/j.frl.2017.07.017
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    Cited by:

    1. Riza Demirer & Rangan Gupta & Qiang Ji & Aviral Kumar Tiwari, 2018. "Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility," Working Papers 201860, University of Pretoria, Department of Economics.
    2. Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta & Konstantinos Gkillas, 2019. "Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model," Working Papers 201918, University of Pretoria, Department of Economics.
    3. Jamal Bouoiyour & Refk Selmi, 2019. "Arab Geopolitics in Turmoil: Implications Of Qatar-Gulf Crisis for Business," Working Papers 1337, Economic Research Forum, revised 21 Aug 2019.
    4. repec:eee:riibaf:v:47:y:2019:i:c:p:511-518 is not listed on IDEAS
    5. Jamal Bouoiyour & Refk Selmi, 2019. "The Changing Geopolitics in the Arab World: Implications of the 2017 Gulf Crisis for Business," Papers 1903.08076, arXiv.org.
    6. repec:eee:eneeco:v:76:y:2018:i:c:p:584-593 is not listed on IDEAS

    More about this item

    Keywords

    Geopolitical risk; Stock and oil markets; BEKK-GARCH models;

    JEL classification:

    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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