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dc.contributor.author | Bouras, Christos![]() |
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dc.contributor.author | Christou, Christina![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Suleman, Tahir![]() |
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dc.date.accessioned | 2019-06-25T09:00:24Z | |
dc.date.issued | 2019 | |
dc.description.abstract | In this article, we analyze the role of country-specific and global geopolitical risks (GPRs) on the returns and volatility of 18 emerging market economies over the monthly period of 1998:11 to 2017:06. For our purpose, we use a panel Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach, which offers substantial efficiency gains in estimating the conditional variance and covariance processes by accounting for interdependencies and heterogeneity across economies, unlikein a time series-based GARCH model. We find that, while country-specific GPRs do not have an impact on stock returns, and the positive effect on equity market volatility is statistically weak. But when we consider a broad measure of global GPR, though there is still no significant effect on returns, the impact on volatility is both economically and statistically stronger than that obtained under the country-specific GPRs, thus highlighting the dominance of global rather than domestic shocks. | en_ZA |
dc.description.department | Economics | en_ZA |
dc.description.embargo | 2020-04-04 | |
dc.description.librarian | hj2019 | en_ZA |
dc.description.uri | https://www.tandfonline.com/loi/mree20 | en_ZA |
dc.identifier.citation | Christos Bouras, Christina Christou, Rangan Gupta & Tahir Suleman (2019) Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model, Emerging Markets Finance and Trade, 55:8, 1841-1856, DOI: 10.1080/1540496X.2018.1507906. | en_ZA |
dc.identifier.issn | 1540-496X (print) | |
dc.identifier.issn | 1558-0938 (online) | |
dc.identifier.other | 10.1080/1540496X.2018.1507906 | |
dc.identifier.uri | http://hdl.handle.net/2263/70288 | |
dc.language.iso | en | en_ZA |
dc.publisher | Routledge | en_ZA |
dc.rights | © Taylor & Francis Group, LLC. This is an electronic version of an article published in Emerging Markets Finance and Trade, vol. 55, no. 8, pp. 1841-1856, 2019. doi : 10.1080/1540496X.2018.1507906. Emerging Markets Finance and Trade is available online at : http://www.tandfonline.com/loi/mree20. | en_ZA |
dc.subject | Global geopolitical risk (GPR) | en_ZA |
dc.subject | Generalized autoregressive conditional heteroskedasticity (GARCH) | en_ZA |
dc.subject | Stock markets | en_ZA |
dc.subject | Volatility | en_ZA |
dc.subject | Returns | en_ZA |
dc.subject | Panel GARCH | en_ZA |
dc.subject | Geopolitical risks (GPRs) | en_ZA |
dc.subject | Emerging economies | en_ZA |
dc.title | Geopolitical risks, returns and volatility in emerging stock markets : evidence from a panel GARCH model | en_ZA |
dc.type | Postprint Article | en_ZA |