TY - JOUR
T1 - The impact of geopolitical risk on sustainable markets
T2 - A quantile-time-frequency analysis
AU - Helmi, Mohamad Husam
AU - Elsayed, Ahmed H.
AU - Khalfaoui, Rabeh
N1 - Publisher Copyright:
© 2024 The Authors
PY - 2024/6
Y1 - 2024/6
N2 - We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies, we incorporate the GPR index to encompass the risk linked to conflict, acts of terrorism, and political tensions. In brief, our findings show that GPR emerges as a significant factor influencing market behavior, with distinct patterns observed across different time scales and trading horizons. Our results are beneficial for investors and portfolio managers to adopt more rational investment strategies and for policymakers to make appropriate policy arrangements.
AB - We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies, we incorporate the GPR index to encompass the risk linked to conflict, acts of terrorism, and political tensions. In brief, our findings show that GPR emerges as a significant factor influencing market behavior, with distinct patterns observed across different time scales and trading horizons. Our results are beneficial for investors and portfolio managers to adopt more rational investment strategies and for policymakers to make appropriate policy arrangements.
KW - Clean energy
KW - Cross-quantilogram
KW - ESG
KW - Geopolitical risk
KW - Green bond
KW - Wavelet
UR - http://www.scopus.com/inward/record.url?scp=85190742655&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85190742655&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2024.105380
DO - 10.1016/j.frl.2024.105380
M3 - Article
AN - SCOPUS:85190742655
SN - 1544-6123
VL - 64
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 105380
ER -
