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Geopolitical risk and financial markets: trends, co-movements and effects
Jarina, Vesna ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
This thesis explores the impact of geopolitical risk on cross-market co-movements in both global stock markets and regional foreign exchange markets over the period of 1995-2023. Employing two novel approaches, namely the return co- exceedances within the quantile regression framework and the GDCCX-GARCH model, our findings reveal that geopolitical risk has a tendency to weaken ex- treme return co-exceedances and dynamic conditional correlations within these markets, although there are few exceptions from this behaviour. Additionally, we emphasize the significance of considering geopolitical risk when building portfolio strategies by providing evidence for gold's hedging and safe haven properties, the resilience of clean energy investments, and the rise in crude oil prices in response to heightened geopolitical risk.
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The Effects of Geopolitical Uncertainty on Selected Stock Markets
Černý, Ondřej ; Horváth, Roman (advisor) ; Šíla, Jan (referee)
This thesis examines the impact of geopolitical uncertainty on four selected stock markets. We analyse the effect on stock market volatility and returns using the GARCH and the EGARCH models and daily stock returns and GPR index value. Furthermore, using categorical indices GPA and GPT, we inspect whether the effect of uncertainty caused by threats differs from that caused by acts. Additionally, we examine whether the impact changed between the period before and after 9/11. The main findings from our results suggest that a rise in each of the risk indices, i.e. global GPR, GPA and GPT, increases the volatility of all of the stock markets and the returns of the two. Also, geopolitical threats negatively influence Hong Kong stock returns, whereas geopolitical acts do not impact them. Furthermore, the impact of at least one of the uncertainty on stock return or volatility changed in the case of all the selected stock markets. JEL Classification C22, C51, C52, C58, G10 Keywords GARCH, geopolitical risk, stock market volatil- ity, stock market returns Title The Effects of Geopolitical Uncertainty on Se- lected Stock Markets Author's e-mail 43885002@fsv.cuni.cz Supervisor's e-mail roman.horvath@fsv.cuni.cz
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