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

Citations

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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. 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).
  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. Mohit Saini & Mahender Yadav & Abel Mawuko Agoba & Albert Danso & Emmanuel Adu‐Ameyaw, 2025. "Geopolitical Risk, Market Indices, and ESG Performance During Crises," Business Strategy and the Environment, Wiley Blackwell, vol. 34(7), pages 9421-9440, November.
  5. Wu, Xinyu & Zhao, An & Cheng, Tengfei, 2023. "A Real-Time GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 56(C).
  6. 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.
  7. 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).
  8. 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).
  9. Bosede Olatomi Ige & Stanley Chibuzor Onwubu, 2025. "Understanding the influence of investors' risk perception on investment decision-making in South Africa’s financial markets," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 14(6), pages 108-120, August.
  10. Wanidwaranan, Phasin & Wongkantarakorn, Jutamas & Padungsaksawasdi, Chaiyuth, 2025. "Geopolitical risk, herd behavior, and cryptocurrency market," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  11. Neto, David, 2025. "Does geopolitical distress tip the European financial stock markets into a great uncertainty regime?," Research in Economics, Elsevier, vol. 79(3).
  12. 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).
  13. Kotsompolis, Giorgos & Prelorentzos, Arsenios-Georgios N. & Xidonas, Panos & Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2025. "European financial markets, energy returns and geopolitical risk: A frequency domain spectral analysis," Energy Economics, Elsevier, vol. 150(C).
  14. Kejin Wu & Sayar Karmakar & Rangan Gupta, 2025. "GARCHX‐NoVaS: A Bootstrap‐Based Approach of Forecasting for GARCHX Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(7), pages 2151-2169, November.
  15. Guerzoni, Marco & Riso, Luigi & Zoia, M. Grazia, 2026. "Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
  16. Oluwasegun B. Adekoya & Jamiu O. Badmus & Mamdouh Abdulaziz Saleh Al‐Faryan, 2025. "Geopolitical Risks and the Predictability of Green Investments: A GARCH‐Based Mixed Data Sampling Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 4343-4357, October.
  17. 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).
  18. 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).
  19. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2025. "Forecasting spot and futures price volatility of agricultural commodities: The role of climate-related migration uncertainty," Research in International Business and Finance, Elsevier, vol. 80(C).
  20. 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.
  21. 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).
  22. 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).
  23. Lai, Fujun & Wang, Fuxiang & Li, Yunzhong & Shum, Wai Yan, 2025. "Global geopolitical risk and stock price informativeness," Economic Analysis and Policy, Elsevier, vol. 87(C), pages 2279-2297.
  24. 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).
  25. Salisu, Afees A. & Olaniran, Abeeb & Lasisi, Lukman, 2023. "Climate risk and gold," Resources Policy, Elsevier, vol. 82(C).
  26. 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.
  27. 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).
  28. 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).
  29. Jiang, Kunliang & Luo, Pengfei & Gan, Wenxiao & Song, Jiashan & Wang, Yuejing, 2026. "Does climate policy uncertainty affect expected shortfall (and Value-at-Risk) in the Chinese sector? Evidence from the mixed-frequency dynamic semi-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
  30. 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).
  31. 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).
  32. 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).
  33. 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.
  34. Attila Zoltan Nagy & Sandor Erdos, 2025. "International Crises, Geopolitical Risks and the Hungarian Stock Market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 24(4), pages 118-145.
  35. Marangoz, Cumali & Gerekan, Bekir & Yılmaz, Erdal & Bulut, Emre, 2025. "Disentangling geopolitical risks: A quantile approach to geopolitical risk indices’ impacts on stock markets," Finance Research Letters, Elsevier, vol. 77(C).
  36. 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.
  37. Yang, Jianlei, 2024. "Financial stability policy and downside risk in stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  38. 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).
  39. 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.
  40. Zhou, Zhiping & Wang, Kai, 2025. "War discourse predicts stock market volatility: A century of evidence," Finance Research Letters, Elsevier, vol. 82(C).
  41. 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).
  42. 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).
  43. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Akinsomi, Omokolade & Tiwari, Aviral Kumar, 2025. "Geopolitical risk and real estate stock crash," Finance Research Letters, Elsevier, vol. 80(C).
  44. Simran & Anil Kumar Sharma, 2025. "Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 1006-1022, August.
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