全球风险的股市溢出效应和对冲机会

IF 2.3 3区 经济学 Q2 ECONOMICS
Evangelos Salachas , Georgios P. Kouretas , Nikiforos T. Laopodis , Prodromos Vlamis
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引用次数: 0

摘要

在本文中,我们揭示了若干全球风险与股市回报之间的联系。我们使用的数据集包括七国集团、金砖国家、中东和北非国家以及 SAHEL 集团国家,时间跨度超过 30 年。我们探讨了地缘政治、气候和全球健康风险对全球股市的溢出效应。我们提供的证据表明,地缘政治冲击对各国股市产生了显著的负面影响。我们还发现,气候变化和全球健康危机构成的风险应被视为加剧地缘政治风险的因素。最后,我们确定了利用艺术品等特定金融资产对冲地缘政治风险的可能策略。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Stock market spillovers of global risks and hedging opportunities

In this paper, we shed light on the linkage between several global risks and stock market returns. We use a dataset including G7, BRICS, MENA, and SAHEL group countries for a period of more than 30 years. We explore the spillover effects on global stock markets fueled by geopolitical, climatic, and global health risks. We provide evidence of a significant negative impact of geopolitical shocks on stock markets across countries. Further, we document that geopolitical shocks contribute to the spillover transmission of stock market volatility We also document that climate change and the global health crisis constitute risks that should be considered as a factor that heightens geopolitical risk. Finally, we identify possible strategies to hedge against geopolitical risk using a specific set of financial assets such as artwork.

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来源期刊
CiteScore
3.40
自引率
10.00%
发文量
106
期刊介绍: The aim of the European Journal of Political Economy is to disseminate original theoretical and empirical research on economic phenomena within a scope that encompasses collective decision making, political behavior, and the role of institutions. Contributions are invited from the international community of researchers. Manuscripts must be published in English. Starting 2008, the European Journal of Political Economy is indexed in the Social Sciences Citation Index published by Thomson Scientific (formerly ISI).
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