Stock market spillovers of global risks and hedging opportunities

Authors

Evangelos Salachas, Athens University of Economics and Business
Georgios P. Kouretas, Athens University of Economics and Business
Nikiforos T. Laopodis, The American College of Greece; Roger Williams UniversityFollow
Prodromos Vlamis, University of Piraeus

Document Type

Article

Publication Title

European Journal of Political Economy

Publication Date

6-1-2024

Abstract

In this paper, we shed light on the linkage between several global risks and stock market returns. We use a dataset including G7, BRICS, MENA, and SAHEL group countries for a period of more than 30 years. We explore the spillover effects on global stock markets fueled by geopolitical, climatic, and global health risks. We provide evidence of a significant negative impact of geopolitical shocks on stock markets across countries. Further, we document that geopolitical shocks contribute to the spillover transmission of stock market volatility We also document that climate change and the global health crisis constitute risks that should be considered as a factor that heightens geopolitical risk. Finally, we identify possible strategies to hedge against geopolitical risk using a specific set of financial assets such as artwork.

Volume

83

DOI

10.1016/j.ejpoleco.2024.102533

Recommended Citation

Salachas, E., Kouretas, G., Laopodis, N., & Vlamis, P. (2024). Stock market spillovers of global risks and hedging opportunities. European Journal of Political Economy, 83 https://doi.org/10.1016/j.ejpoleco.2024.102533

ISSN

01762680