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US sectoral stock market volatility and geopolitical risk categories

Author

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  • Chatziantoniou, Ioannis
  • Gabauer, David
  • Stenfors, Alexis

Abstract

This study examines the impact of geopolitical risk categories on US sectoral stock market volatility using an autoregressive model with exogenous inputs from May 1995 to November 2024. We find that the impact of geopolitical risk categories is significant and highly sector-specific. Sectors react more strongly to terror threats than to terror acts. Further, escalations of war and military build-ups exhibit a stronger impact than war threats and beginnings of war. Finally, although global peace and nuclear threats have remained low in recent decades, they contribute to volatility in certain industries. The results are important for policymakers and investors alike.

Suggested Citation

  • Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2025. "US sectoral stock market volatility and geopolitical risk categories," Finance Research Letters, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325001801
    DOI: 10.1016/j.frl.2025.106916
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    More about this item

    Keywords

    Stock price volatility; Industry sectors; Geopolitical risk components;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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