Bouras, ChristosChristou, ChristinaGupta, RanganSuleman, Tahir2019-06-252019Christos 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.2018.1507906.1540-496X (print)1558-0938 (online)10.1080/1540496X.2018.1507906http://hdl.handle.net/2263/70288In 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© 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.Global geopolitical risk (GPR)Generalized autoregressive conditional heteroskedasticity (GARCH)Stock marketsVolatilityReturnsPanel GARCHGeopolitical risks (GPRs)Emerging economiesPostprint Article