Geopolitical risks, uncertainty, and stock market performance
Document Type
Article
Publication Title
Economic and Political Studies
Publication Date
1-1-2022
Abstract
This paper analyses the impact of geopolitical risks and economic policy uncertainty on stock returns. It uses an unbalanced panel dataset of monthly observations for 22 countries for the period 1985–2020. It controls for a set of macroeconomic and market structure variables while also taking into consideration the potential effects of the 2007–2009 financial crisis. This paper shows that the impact of geopolitical risks is negative and statistically significant. The economic interpretation of our main results is that a one-unit standard deviation increase in geopolitical risks decreases stock returns by 10.53–42.14% of its sample mean. For comparison, this paper uses alternatively the global economic policy uncertainty index and the economic policy uncertainty country index, and also finds a statistically significant negative relationship although it is weaker in the latter case.
Volume
10
Issue
3
First Page
253
Last Page
265
DOI
10.1080/20954816.2022.2095749
Recommended Citation
Agoraki, M., Kouretas, G., & Laopodis, N. (2022). Geopolitical risks, uncertainty, and stock market performance. Economic and Political Studies, 10 (3), 253-265. https://doi.org/10.1080/20954816.2022.2095749
ISSN
20954816
E-ISSN
24704024
