Stock market spillovers of global risks and hedging opportunities
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