FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3136228055> ?p ?o ?g. }

• W3136228055 endingPage "366" @default.
• W3136228055 startingPage "358" @default.
• W3136228055 abstract "Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is consistent with geopolitical risk been linked more closely to supply disruption. The impact of geopolitical risk is greater for oil prices and this may be related to the localised nature of some geopolitical events (e.g. terror attacks in oil fields) that directly affect oil production but receive limited global press coverage. A dynamic conditional correlation (DCC) model is preferred given the dynamic nature of the magnitude of the geopolitical risk effect and oil-stock return correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover effects that run from oil to stock returns. Understanding the impact of geopolitical events on volatility is important given the significant role it plays in investment decisions and policy-making, and allows us to assess the systemic nature of geopolitical risk. Our results suggest that oil futures may be a useful hedge against geopolitical risk for stock investors." @default.
• W3136228055 created "2021-03-29" @default.
• W3136228055 creator A5087998313 @default.
• W3136228055 date "2021-05-01" @default.
• W3136228055 modified "2023-10-14" @default.
• W3136228055 title "Geopolitical risk and volatility spillovers in oil and stock markets" @default.
• W3136228055 cites W1257903695 @default.
• W3136228055 cites W1506434339 @default.
• W3136228055 cites W1966404922 @default.
• W3136228055 cites W1977206371 @default.
• W3136228055 cites W1990483680 @default.
• W3136228055 cites W1991426172 @default.
• W3136228055 cites W1991746180 @default.
• W3136228055 cites W1994547093 @default.
• W3136228055 cites W1999814123 @default.
• W3136228055 cites W1999996900 @default.
• W3136228055 cites W2001340398 @default.
• W3136228055 cites W2011457978 @default.
• W3136228055 cites W2011561736 @default.
• W3136228055 cites W2015571586 @default.
• W3136228055 cites W2015800048 @default.
• W3136228055 cites W2026092445 @default.
• W3136228055 cites W2028726096 @default.
• W3136228055 cites W2028738662 @default.
• W3136228055 cites W2048373198 @default.
• W3136228055 cites W2057157111 @default.
• W3136228055 cites W2059944289 @default.
• W3136228055 cites W2061326864 @default.
• W3136228055 cites W2074988857 @default.
• W3136228055 cites W2114539474 @default.
• W3136228055 cites W2119668799 @default.
• W3136228055 cites W2127312520 @default.
• W3136228055 cites W2132417154 @default.
• W3136228055 cites W2139389913 @default.
• W3136228055 cites W2143053136 @default.
• W3136228055 cites W2154084173 @default.
• W3136228055 cites W2168718710 @default.
• W3136228055 cites W2216453870 @default.
• W3136228055 cites W2281844928 @default.
• W3136228055 cites W2519965213 @default.
• W3136228055 cites W2554619162 @default.
• W3136228055 cites W2594654313 @default.
• W3136228055 cites W2753449905 @default.
• W3136228055 cites W2786501681 @default.
• W3136228055 cites W3121547932 @default.
• W3136228055 cites W3122053051 @default.
• W3136228055 cites W3122648113 @default.
• W3136228055 cites W3122944446 @default.
• W3136228055 cites W3123219825 @default.
• W3136228055 cites W3123974798 @default.
• W3136228055 cites W3124021775 @default.
• W3136228055 cites W3124174211 @default.
• W3136228055 cites W3124688932 @default.
• W3136228055 cites W3125459210 @default.
• W3136228055 cites W3126081245 @default.
• W3136228055 cites W4239754684 @default.
• W3136228055 cites W4376848388 @default.
• W3136228055 doi "https://doi.org/10.1016/j.qref.2021.03.008" @default.
• W3136228055 hasPublicationYear "2021" @default.
• W3136228055 type Work @default.
• W3136228055 sameAs 3136228055 @default.
• W3136228055 citedByCount "65" @default.
• W3136228055 countsByYear W31362280552021 @default.
• W3136228055 countsByYear W31362280552022 @default.
• W3136228055 countsByYear W31362280552023 @default.
• W3136228055 crossrefType "journal-article" @default.
• W3136228055 hasAuthorship W3136228055A5087998313 @default.
• W3136228055 hasConcept C106159729 @default.
• W3136228055 hasConcept C139719470 @default.
• W3136228055 hasConcept C162324750 @default.
• W3136228055 hasConcept C166957645 @default.
• W3136228055 hasConcept C17744445 @default.
• W3136228055 hasConcept C199539241 @default.
• W3136228055 hasConcept C201960208 @default.
• W3136228055 hasConcept C204036174 @default.
• W3136228055 hasConcept C205649164 @default.
• W3136228055 hasConcept C2778300220 @default.
• W3136228055 hasConcept C55527203 @default.
• W3136228055 hasConcept C556758197 @default.
• W3136228055 hasConcept C91602232 @default.
• W3136228055 hasConcept C94625758 @default.
• W3136228055 hasConceptScore W3136228055C106159729 @default.
• W3136228055 hasConceptScore W3136228055C139719470 @default.
• W3136228055 hasConceptScore W3136228055C162324750 @default.
• W3136228055 hasConceptScore W3136228055C166957645 @default.
• W3136228055 hasConceptScore W3136228055C17744445 @default.
• W3136228055 hasConceptScore W3136228055C199539241 @default.
• W3136228055 hasConceptScore W3136228055C201960208 @default.
• W3136228055 hasConceptScore W3136228055C204036174 @default.
• W3136228055 hasConceptScore W3136228055C205649164 @default.
• W3136228055 hasConceptScore W3136228055C2778300220 @default.
• W3136228055 hasConceptScore W3136228055C55527203 @default.
• W3136228055 hasConceptScore W3136228055C556758197 @default.
• W3136228055 hasConceptScore W3136228055C91602232 @default.
• W3136228055 hasConceptScore W3136228055C94625758 @default.
• W3136228055 hasLocation W31362280551 @default.
• W3136228055 hasOpenAccess W3136228055 @default.
• W3136228055 hasPrimaryLocation W31362280551 @default.

• next