Article ; Online: Information flow dynamics between geopolitical risk and major asset returns.
PLoS ONE, Vol 18, Iss 4, p e
2023 Volume 0284811
Abstract: We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the Russian-Ukrainian conflict. We combine transfer entropy and the I-CEEMDAN framework to measure ... ...
Abstract | We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the Russian-Ukrainian conflict. We combine transfer entropy and the I-CEEMDAN framework to measure information flows at multi-term scales. Our empirical results indicate that (i) in the short term, crude oil and Russian equity show opposite responses to GPR; (ii) in the medium and long term, GPR information increases the risk in the financial market; and (iii) the efficiency of the financial asset markets can be confirmed on a long-term scale. These findings have important implications for market participants, such as investors, portfolio managers, and policymakers. |
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Keywords | Medicine ; R ; Science ; Q |
Language | English |
Publishing date | 2023-01-01T00:00:00Z |
Publisher | Public Library of Science (PLoS) |
Document type | Article ; Online |
Database | BASE - Bielefeld Academic Search Engine (life sciences selection) |
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