Are short stocks susceptible to geopolitical shocks? Time-Frequency evidence from the Russian-Ukrainian conflict

被引：33

作者：

Umar, Zaghum ^{[1
,4
]}

Bossman, Ahmed ^{[2
]}

Choi, Sun-Yong ^{[3
,5
]}

Vo, Xuan Vinh ^{[4
]}

机构：

[1] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates

[2] Univ Cape Coast, Sch Business, Dept Finance, Cape Coast, Ghana

[3] Gachon Univ, Dept Financial Math, Seongnam 13120, South Korea

[4] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam

[5] Gachon Univ, 1342 Seongnam Daero, Seongnam Si 13120, South Korea

来源：

FINANCE RESEARCH LETTERS | 2023年 / 52卷

基金：

新加坡国家研究基金会;

关键词：

Short stocks; Geopolitical risk; Military conflicts; Black swan; Wavelet analysis; WORLD-WAR-II; RETURNS; RISKS;

D O I：

10.1016/j.frl.2022.103388

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The geopolitical conflict between Russia and Ukraine has noted derailing impacts on financial markets. Since tensions from geopolitical risks (GPR) can amplify pessimistic views of investors, we envisage this issue from the position of shorted stocks. In a wavelet-based analysis, we examine the impact of the Russian-Ukrainian military conflict on different economic sectors. We found strong and high comovements between shorted stocks and GPR. The lead-lag dynamics evidence that hedging strategies with shorted stocks would be beneficial, particularly in the very short-term. The findings are important for policymakers, practitioners, investors, and risk man-agers during black swan events like military conflicts.

引用

页数：9

共 36 条

[21] The effects of war risk on US financial markets [J].