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 |
| Published: |
Public Library of Science (PLoS)
2023-01-01
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| Series: | PLoS ONE |
| Online Access: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10128946/?tool=EBI |
| _version_ | 1797837914180157440 |
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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 | 2024-04-09T15:32:21Z |
| format | Article |
| id | doaj.art-7cd92f5b63d14ba8bd82128fe0b097aa |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-04-09T15:32:21Z |
| publishDate | 2023-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-7cd92f5b63d14ba8bd82128fe0b097aa2023-04-28T05:31:55ZengPublic Library of Science (PLoS)PLoS ONE1932-62032023-01-01184Information flow dynamics between geopolitical risk and major asset returnsZaghum 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://www.ncbi.nlm.nih.gov/pmc/articles/PMC10128946/?tool=EBI |
| 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://www.ncbi.nlm.nih.gov/pmc/articles/PMC10128946/?tool=EBI |
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