Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies
This study examines nonlinear effects of global and country-specific geopolitical risk uncertainty on stock returns of Brazil, India, Indonesia, South Africa, and Turkey, employing a three-regime Markov-switching approach. This study discovers that the Markov-switching model captured the impacts of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-09-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845020300259 |
| _version_ | 1811253562480525312 |
|---|---|
| author | Mohammad Enamul Hoque Mohd Azlan Shah Zaidi |
| author_facet | Mohammad Enamul Hoque Mohd Azlan Shah Zaidi |
| author_sort | Mohammad Enamul Hoque |
| collection | DOAJ |
| description | This study examines nonlinear effects of global and country-specific geopolitical risk uncertainty on stock returns of Brazil, India, Indonesia, South Africa, and Turkey, employing a three-regime Markov-switching approach. This study discovers that the Markov-switching model captured the impacts of global and country-specific geopolitical risk uncertainty on stock returns of all fragile emerging economies, while the linear framework does not. Hence, the effects of both risk factors are nonlinear and asymmetric on stock market returns. The empirical results uncover that global geopolitical risk uncertainty can affect stock market performance both positively and negatively, which depend on contemporaneous time, lag time, volatility regimes, and stock market. The results also reveal that the country-specific political unrest adversely influences the stock market performance of four fragile emerging economies throughout the volatility regimes, with exception of the Indian stock market performance. Therefore, investors should follow market volatility behavior before taking risk of global and domestic geopolitical uncertainty. |
| first_indexed | 2024-04-12T16:52:51Z |
| format | Article |
| id | doaj.art-821c74d7a9cb4411bdb886af969919f5 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T16:52:51Z |
| publishDate | 2020-09-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-821c74d7a9cb4411bdb886af969919f52022-12-22T03:24:21ZengElsevierBorsa Istanbul Review2214-84502020-09-01203197213Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economiesMohammad Enamul Hoque0Mohd Azlan Shah Zaidi1Graduate School of Business, The National University of Malaysia, Malaysia; Corresponding author.Faculty of Economics and Management, The National University of Malaysia, MalaysiaThis study examines nonlinear effects of global and country-specific geopolitical risk uncertainty on stock returns of Brazil, India, Indonesia, South Africa, and Turkey, employing a three-regime Markov-switching approach. This study discovers that the Markov-switching model captured the impacts of global and country-specific geopolitical risk uncertainty on stock returns of all fragile emerging economies, while the linear framework does not. Hence, the effects of both risk factors are nonlinear and asymmetric on stock market returns. The empirical results uncover that global geopolitical risk uncertainty can affect stock market performance both positively and negatively, which depend on contemporaneous time, lag time, volatility regimes, and stock market. The results also reveal that the country-specific political unrest adversely influences the stock market performance of four fragile emerging economies throughout the volatility regimes, with exception of the Indian stock market performance. Therefore, investors should follow market volatility behavior before taking risk of global and domestic geopolitical uncertainty.http://www.sciencedirect.com/science/article/pii/S2214845020300259C58E32E37E44E52E62 |
| spellingShingle | Mohammad Enamul Hoque Mohd Azlan Shah Zaidi Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies Borsa Istanbul Review C58 E32 E37 E44 E52 E62 |
| title | Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies |
| title_full | Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies |
| title_fullStr | Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies |
| title_full_unstemmed | Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies |
| title_short | Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies |
| title_sort | global and country specific geopolitical risk uncertainty and stock return of fragile emerging economies |
| topic | C58 E32 E37 E44 E52 E62 |
| url | http://www.sciencedirect.com/science/article/pii/S2214845020300259 |
| work_keys_str_mv | AT mohammadenamulhoque globalandcountryspecificgeopoliticalriskuncertaintyandstockreturnoffragileemergingeconomies AT mohdazlanshahzaidi globalandcountryspecificgeopoliticalriskuncertaintyandstockreturnoffragileemergingeconomies |