The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis

Mohamad Husam Helmi, Ahmed H. Elsayed, Rabeh Khalfaoui

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

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.

Original languageEnglish
Article number105380
JournalFinance Research Letters
Volume64
DOIs
Publication statusPublished - Jun 2024
Externally publishedYes

Keywords

  • Clean energy
  • Cross-quantilogram
  • ESG
  • Geopolitical risk
  • Green bond
  • Wavelet

ASJC Scopus subject areas

  • Finance

Fingerprint

Dive into the research topics of 'The impact of geopolitical risk on sustainable markets: A quantile-time-frequency analysis'. Together they form a unique fingerprint.

Cite this