Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach

Citations

Cited by:

1. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
2. Kejin Wu & Sayar Karmakar & Rangan Gupta, 2023. "GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables," Papers 2308.13346, arXiv.org, revised Sep 2024.
   • Kejin Wu & Sayar Karmakar & Rangan Gupta, 2024. "GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables," Working Papers 202425, University of Pretoria, Department of Economics.
3. Khraiche, Maroula & Boudreau, James W. & Chowdhury, Md Shahedur R., 2023. "Geopolitical risk and stock market development," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
4. Ha, Le Thanh, 2025. "Measuring the contemporal and lead connectedness level between investor sentiment and exchange rate dynamics in Vietnam: Novel findings from TVP-VAR-SV technique," International Economics, Elsevier, vol. 181(C).
5. Li, Rong & Tang, Guangyuan & Hong, Chen & Li, Sufang & Li, Bingting & Xiang, Shujian, 2024. "A study on economic policy uncertainty, geopolitical risk and stock market spillovers in BRICS countries," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
6. Ma, Yong & Li, Shuaibing & Zhou, Mingtao, 2025. "Twitter-based market uncertainty and global stock volatility predictability," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
7. Choi, Sun-Yong, 2024. "Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market," Journal of Multinational Financial Management, Elsevier, vol. 76(C).
8. Salisu, Afees A. & Olaniran, Abeeb O. & Vo, Xuan Vinh, 2025. "Geopolitical risk, climate risk and financial innovation in the energy market," Energy, Elsevier, vol. 315(C).
9. Azimli, Asil & Kalmaz, Demet Beton, 2025. "The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk," Economic Systems, Elsevier, vol. 49(1).
10. Rabbani, Mustafa Raza & Hassan, M. Kabir & Billah, Syed Mabruk & Shaik, Muneer & Halim, Zairihan Abdul, 2025. "Religion vs. ethics: Tail dependence between Sukuk, green bond, Islamic Fintech, and fourth industrial revolution assets," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
11. Pan, Changchun & Zhang, Weiqi & Wang, Weiqiang, 2023. "Global geopolitical risk and volatility connectedness among China's sectoral stock markets," Finance Research Letters, Elsevier, vol. 58(PC).
12. Olaniran, Abeeb & Akanni, Lateef & Salisu, Afees, 2024. "Migration fears and exchange rate volatility in France, Germany, and the UK: A GARCH-MIDAS framework," MPRA Paper 123196, University Library of Munich, Germany.
13. Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
14. Xie, Qichang & Bai, Yu & Jia, Nanfei & Xu, Xin, 2024. "Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods," Energy Economics, Elsevier, vol. 134(C).
15. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Volatility connectedness between geopolitical risk and financial markets: Insights from pandemic and military crisis periods," International Review of Economics & Finance, Elsevier, vol. 96(PC).
16. Salachas, Evangelos & Kouretas, Georgios P. & Laopodis, Nikiforos T. & Vlamis, Prodromos, 2024. "Stock market spillovers of global risks and hedging opportunities," European Journal of Political Economy, Elsevier, vol. 83(C).
17. Salisu, Afees A. & Isah, Kazeem & Oloko, Tirimisiyu O., 2024. "Technology shocks and crude oil market connection: The role of climate change," Energy Economics, Elsevier, vol. 130(C).
18. Wu, Xinyu & Zhao, An & Cheng, Tengfei, 2023. "A Real-Time GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 56(C).
19. Li, Xin & Tong, Yan & Zhong, Kai & Xu, Guoquan & Zhao, Wenyi, 2024. "Geopolitical risk and foreign subsidiary performance of emerging market multinationals," Journal of Multinational Financial Management, Elsevier, vol. 72(C).
20. Marco Guerzoni & Luigi Riso & Maria Grazia Zoia, 2025. "Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection," DISCE - Working Papers del Dipartimento di Politica Economica dipe0043, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
21. Tumala, Mohammed M. & Salisu, Afees A. & Gambo, Ali I., 2023. "Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 707-717.
22. Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024. "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
23. Salisu, Afees A. & Olaniran, Abeeb & Lasisi, Lukman, 2023. "Climate risk and gold," Resources Policy, Elsevier, vol. 82(C).
24. He, Zhifang & Sun, Hao, 2024. "The time-varying and asymmetric impacts of oil price shocks on geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 942-957.
25. Abdelaziz Eissa, Mohamed & Al Refai, Hisham, 2024. "Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study," International Review of Economics & Finance, Elsevier, vol. 94(C).
26. Ma, Tianyi & Zhou, Xuting, 2024. "Geopolitical risk hedging or timing: Evidence from hedge fund strategies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
27. Lee, Chien-Chiang & Wang, Chih-Wei & Thinh, Bui Tien & Purnama, Muhammad Yusuf Indra, 2023. "Cash holdings and cash flows: Do oil price uncertainty and geopolitical risk matter?," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 134-152.
28. Kai‐Hua Wang & Zu‐Shan Wang & Hong‐Wen Liu & Xin Li, 2023. "Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 37(2), pages 96-118, November.