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Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model
16 references·16 citing·30 second hopsampled
Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model (2018)Geopolitical Risks, Returns, and Volatili…Measuring Geopolitical Risk (2018)Measuring Geopolitical RiskGeopolitical risks and stock market dynamics of the BRICS (2018)Geopolitical risks and stock …Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…The local power of some unit root tests for panel data (2004)The local power of some unit …General Diagnostic Tests for Cross Section Dependence in Panels (2004)General Diagnostic Tests for …General Diagnostic Tests for Cross Section Dependence in Panels (2004)General Diagnostic Tests for …Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)PRACTITIONERS’ CORNER: Comput…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Geopolitical risk and stock prices (2024)Geopolitical risk and stock p…African stock markets’ connectedness: Quantile VAR approach (2024)African stock markets’ connec…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…Risk spillovers across geopolitical risk and global financial markets (2023)Risk spillovers across geopol…Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis (2023)Geopolitical risks and invest…Geopolitical risk, economic policy uncertainty, and bank stability in BRICS countries (2023)Geopolitical risk, economic p…Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models (2023)Forecasting stock market vola…Does geopolitical risk affect bilateral trade? Evidence from South Korea (2023)Does geopolitical risk affect…Economic Consequences and Implications of the Ukraine-Russia War (2022)Economic Consequences and Imp…Asymmetric effects of climate policy uncertainty, geopolitical risk, and crude oil prices on clean energy prices (2022)Asymmetric effects of climate…Sovereign Credit and Geopolitical Risks During and After the EMU Crisis (2021)Sovereign Credit and Geopolit…Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions (2021)Oil price changes, uncertaint…Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries (2021)Evidence from a multiple and …The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis (2020)The effects of geopolitical r…Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns (2020)Predictability of GCC stock r…How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020)How oil prices, gold prices, …Testing for a Unit Root in Time Series Regression (1988)Another look at the instrumental variable estimation of error-components models (1995)Introductory Econometrics for Finance (2008)Renewable energy consumption and income in emerging economies (2009)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Biases in Dynamic Models with Fixed Effects (1981)Spatial Econometrics: Methods and Models (1988)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 2004General Diagnostic Tests for Cross Section Dependence in Panels8,718 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2004The local power of some unit root tests for panel data2,382 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1987PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *1,449 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 2018Measuring Geopolitical Risk596 cited
  • 2004General Diagnostic Tests for Cross Section Dependence in Panels

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570 cited
  • 2018Geopolitical risks and stock market dynamics of the BRICS485 cited
  • Cited by

    • 2022Asymmetric effects of climate policy uncertainty, geopolitical risk, and crude oil prices on clean energy prices141 cited
    • 2022Economic Consequences and Implications of the Ukraine-Russia War138 cited
    • 2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns120 cited
    • 2020How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique117 cited
    • 2021Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions108 cited
    • 2024Geopolitical risk and stock prices104 cited
    • 2023Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis101 cited
    • 2023Stock market volatility: a systematic review86 cited
    • 2021Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries85 cited
    • 2020The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis76 cited
    • 2023Risk spillovers across geopolitical risk and global financial markets74 cited
    • 2023Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models63 cited
    • 2023Geopolitical risk, economic policy uncertainty, and bank stability in BRICS countries41 cited
    • 2021Sovereign Credit and Geopolitical Risks During and After the EMU Crisis36 cited
    • 2024African stock markets’ connectedness: Quantile VAR approach27 cited
    • 2023Does geopolitical risk affect bilateral trade? Evidence from South Korea25 cited