Geopolitical risks and stock market dynamics of the BRICS

By M. Balcılar, Matteo Bonato, Riza Demirer, Rangan Gupta. Economic Systems, 2018

400 citations recorded by the source corpus.

This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical risks (GPRs) is found to be heterogeneous across the BRICS stock markets, suggesting that news regarding geopolitical tensions do not affect return dynamics in these markets in a uniform way. GPRs are generally found to impact stock market volatility measures, rather than returns, and often at return quantiles below the mean, indicating the role of GPRs as driver of bad volatility in these markets. While Russia bears the greatest risk exposure to GPRs in terms of both return and volatility, India is found to be the most resilient BRIC nation with no significant causality effects observed. We argue that a combination of factors including exposure to political and financial risks, the strength of domestic demand and exposure to the U.S dollar in foreign exchange reserves drive the heterogeneity in the reaction of these emerging stock markets to geopolitical risks.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d9f2fbd458244614bc9e948ee8e07292cb154b43

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Time-varying interactions between geopolitical risks and renewable energy consumption (2021, background): “2 Caldara and Iacoviello (2018) present negative impacts of GPR shock on aggregate economic activity, time-varied responses of economic indicators for GPR shocks are preferred so that one can explore whether there are significant changes during geopolitically sensitive periods.”
How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “Balcilar et al. (2018) found a nonuniform association between GPR and stocks in BRICS markets.”
Effects of the geopolitical risks on Bitcoin returns and volatility (2019, background): “Balcilar et al. (2018) examine the impact of the GPR on BRICS stock markets.”
Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model (2018, background): “In the process, our article also adds to the related literature of terror attacks in determining movements of financial market returns and volatility (see e.g., Kollias et al. (2010, 2011a, 2011b, 2013a, 2013b), Balcilar et al. (2017, 2018b)), and Gupta et al. (2017), and references cited therein).”