The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk

IF 2.8 2区 经济学 Q1 ECONOMICS
Asil Azimli , Demet Beton Kalmaz
{"title":"The impact of Russia’s Geopolitical Risk on stock markets’ high-moment risk","authors":"Asil Azimli ,&nbsp;Demet Beton Kalmaz","doi":"10.1016/j.ecosys.2024.101242","DOIUrl":null,"url":null,"abstract":"<div><div><span>We investigated the time and frequency connectedness between Russia’s geopolitical risk (R-GPR) and the high-order moments (volatility, skewness, and kurtosis) of equity markets in eight countries: U.S., Belgium, France, Germany, U.K., Italy, Switzerland, and Spain. Our findings showed that R-GPR and realized volatility co-move in the short- and medium-term frequency bands during wartime, except in the U.S. and U.K. markets. Concerning realized skewness, significant co-movements were observed between R-GPR and Belgium and Germany during the short- and medium-frequency bands, implying that higher skewness (crash risk) was associated with higher R-GPR. Contrastingly, the realized </span>kurtosis and R-GPR were connected at a long-term frequency. Finally, R-GPR negatively led to realized kurtosis in the U.S. market, implying the U.S. market’s hedging potential for fat-tail risk. Our results provide essential insights into the investment and risk-management practices of market participants with different investment horizons.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 1","pages":"Article 101242"},"PeriodicalIF":2.8000,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Systems","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0939362524000645","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

Abstract

We investigated the time and frequency connectedness between Russia’s geopolitical risk (R-GPR) and the high-order moments (volatility, skewness, and kurtosis) of equity markets in eight countries: U.S., Belgium, France, Germany, U.K., Italy, Switzerland, and Spain. Our findings showed that R-GPR and realized volatility co-move in the short- and medium-term frequency bands during wartime, except in the U.S. and U.K. markets. Concerning realized skewness, significant co-movements were observed between R-GPR and Belgium and Germany during the short- and medium-frequency bands, implying that higher skewness (crash risk) was associated with higher R-GPR. Contrastingly, the realized kurtosis and R-GPR were connected at a long-term frequency. Finally, R-GPR negatively led to realized kurtosis in the U.S. market, implying the U.S. market’s hedging potential for fat-tail risk. Our results provide essential insights into the investment and risk-management practices of market participants with different investment horizons.
俄罗斯地缘政治风险对股市高风险的影响
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
Economic Systems
Economic Systems ECONOMICS-
CiteScore
4.90
自引率
0.00%
发文量
83
审稿时长
48 days
期刊介绍: Economic Systems is a refereed journal for the analysis of causes and consequences of the significant institutional variety prevailing among developed, developing, and emerging economies, as well as attempts at and proposals for their reform. The journal is open to micro and macro contributions, theoretical as well as empirical, the latter to analyze related topics against the background of country or region-specific experiences. In this respect, Economic Systems retains its long standing interest in the emerging economies of Central and Eastern Europe and other former transition economies, but also encourages contributions that cover any part of the world, including Asia, Latin America, the Middle East, or Africa.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信