Information flow dynamics between geopolitical risk and major asset returns.
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 r...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
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Public Library of Science (PLoS)
2023-01-01
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Series: | PLoS ONE |
Online Access: | https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0284811&type=printable |
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author | Zaghum Umar Ahmed Bossman Sun-Yong Choi Xuan Vinh Vo |
author_facet | Zaghum Umar Ahmed Bossman Sun-Yong Choi Xuan Vinh Vo |
author_sort | Zaghum Umar |
collection | DOAJ |
description | 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. |
first_indexed | 2024-03-09T00:19:17Z |
format | Article |
id | doaj.art-5b268dbcf4164716960d1bbf9fb64952 |
institution | Directory Open Access Journal |
issn | 1932-6203 |
language | English |
last_indexed | 2024-03-09T00:19:17Z |
publishDate | 2023-01-01 |
publisher | Public Library of Science (PLoS) |
record_format | Article |
series | PLoS ONE |
spelling | doaj.art-5b268dbcf4164716960d1bbf9fb649522023-12-12T05:36:45ZengPublic Library of Science (PLoS)PLoS ONE1932-62032023-01-01184e028481110.1371/journal.pone.0284811Information flow dynamics between geopolitical risk and major asset returns.Zaghum UmarAhmed BossmanSun-Yong ChoiXuan Vinh VoWe 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.https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0284811&type=printable |
spellingShingle | Zaghum Umar Ahmed Bossman Sun-Yong Choi Xuan Vinh Vo Information flow dynamics between geopolitical risk and major asset returns. PLoS ONE |
title | Information flow dynamics between geopolitical risk and major asset returns. |
title_full | Information flow dynamics between geopolitical risk and major asset returns. |
title_fullStr | Information flow dynamics between geopolitical risk and major asset returns. |
title_full_unstemmed | Information flow dynamics between geopolitical risk and major asset returns. |
title_short | Information flow dynamics between geopolitical risk and major asset returns. |
title_sort | information flow dynamics between geopolitical risk and major asset returns |
url | https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0284811&type=printable |
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