Wall Street sneezes and global finance catches a cold: How does geopolitical risk contribute? A tale of tail

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-12-24 DOI:10.1016/j.frl.2024.106662

David Neto

引用次数: 0

Abstract

This note explores the impact of a country’s geopolitical risk (GPR) level on tail dependence between its stock market and that of the United States. To this end, we employ the tail dependence regression methodology proposed by Zhang et al. (2013). Our findings suggest that as a country’s geopolitical risk increases, its dependence on significant downturns in the US stock market decreases.

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华尔街打喷嚏，全球金融感冒：地缘政治风险如何起作用？尾巴的故事

本文探讨了一国地缘政治风险水平对其股市与美国股市尾部依赖关系的影响。为此，我们采用了Zhang et al.（2013）提出的尾部相关回归方法。我们的研究结果表明，随着一个国家地缘政治风险的增加，其对美国股市大幅下跌的依赖程度会降低。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance