Mohamad Husam Helmi
The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis
Helmi, Mohamad Husam; Elsayed, Ahmed H.; Khalfaoui, Rabeh
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.
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Corresponding author: Ahmed H. Elsayed (ahmed.elsayed@uaeu.ac.ae)
Citation
Helmi, M. H., Elsayed, A. H., & Khalfaoui, R. (in press). The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis. Finance Research Letters, 64, Article 105380. https://doi.org/10.1016/j.frl.2024.105380
Journal Article Type | Article |
---|---|
Acceptance Date | Apr 8, 2024 |
Online Publication Date | Apr 20, 2024 |
Deposit Date | Apr 25, 2024 |
Publicly Available Date | Apr 25, 2024 |
Journal | Finance Research Letters |
Print ISSN | 1544-6123 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 64 |
Article Number | 105380 |
DOI | https://doi.org/10.1016/j.frl.2024.105380 |
Public URL | https://durham-repository.worktribe.com/output/2392305 |
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Publisher Licence URL
http://creativecommons.org/licenses/by-nc/4.0/
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