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Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail

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  • Neto, David

Abstract

This note explores the impact of a country’s geopolitical risk (GPR) level on tail dependence between its stock market and that of the United States. To this end, we employ the tail dependence regression methodology proposed by Zhang et al. (2013). Our findings suggest that as a country’s geopolitical risk increases, its dependence on significant downturns in the US stock market decreases.

Suggested Citation

  • Neto, David, 2025. "Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail," Finance Research Letters, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401691x
    DOI: 10.1016/j.frl.2024.106662
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    Cited by:

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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