Geopolitical risk and stock market volatility: A global perspective

被引：57
作者：
Zhang, Yaojie [1 ]
He, Jiaxin [1 ]
He, Mengxi [1 ,3 ]
Li, Shaofang [2 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Peoples R China
[2] Southeast Univ, Sch Econ & Management, Nanjing, Peoples R China
[3] Nanjing Univ Sci & Technol, Sch Econ & Management, Xiaolingwei 200, Nanjing 210094, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 53卷
基金：
中国国家自然科学基金;
关键词：
Geopolitical risk; Stock market volatility; Global perspective; Dynamic panel data; LSDV estimator; OIL PRICE SHOCKS; RETURNS; TERROR;
D O I：
10.1016/j.frl.2022.103620
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the relationship between geopolitical risk (GPR) and stock market vola-tility from a global perspective. We use dynamic panel data including 32 countries and regions and the bias-corrected least-squares dummy variable (LSDV) estimator. Empirical results show that GPR has a significant positive effect on stock market volatility, which is not affected by control variables. Moreover, we find that the effect of GPR on stock market volatility is more significant for emerging economies, crude oil exporters, and countries at peace. Our study pro-vides new evidence for the relationship between GPR and stock market volatility.
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页数：7
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