Large firms’ volatility, geopolitical risk, and supply chain pressure: a partial coherency and phase difference analysis

This study investigates the time–frequency relationships between the returns and volatility of large firms in the United States, China, and Japan and measures of geopolitical risk and supply chain pressure over the period 2010–2022. The analysis reveals that episodes such as the U.S.–China trade war and critical logistics vulnerabilities have exerted a pronounced influence on the performance of these dominant firms. Evidence also suggests that volatility shocks in U.S. and Chinese large firms can amplify geopolitical risk, indicating a bidirectional relationship. The volatility and returns of large firms in the United States China, and Japan exhibit strong and persistent impulse responses to shocks in supply chain pressure. These results highlight the need for policymakers to mitigate supply chain vulnerabilities and develop strategies to enhance systemic resilience. Such efforts may help stabilize firm-level volatility and reduce broader geopolitical risk.