Do geopolitical risks affect stock market returns and volatilities: an analysis based on the TVP-VAR model

• Lamine, Ahlem ^[1] ; Zribi, Sirine ^[1]
  1. [1] University of Economic Science and Management of Sfax
• Localización: European Journal of Government and Economics, ISSN-e 2254-7088, Vol. 13, No. 2, 2024, págs. 240-261
• Idioma: inglés
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• Resumen

  • This study examines the effects of geopolitical risk (GPR) shocks on stock market returns and volatility across G7, BRICS, and Gulf countries, using a time-varying parameter vector autoregression (TVP-VAR) model. By analyzing responses over short, medium, and long-term horizons, our findings reveal significant variations in how geopolitical risks impact stock markets across different countries and timelines. We observe that GPR-related impacts on stock returns weaken over time, while volatility effects tend to strengthen, suggesting persistent risks for investors in these markets. These insights provide new perspectives for portfolio management and investment strategies during times of geopolitical uncertainty.