This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in
Middle East and North African (MENA) countries by using an ADCC-GARCH model and a …

In this study, we examine the connection between geopolitical risk (GPR) and stock market
volatility in emerging economies. Our motivation for this study is premised on the need to …

Previous studies have found that geopolitical risk (GPR) caused by geopolitical events such
as terrorist attacks can affect the movements of asset prices. However, the studies on …

This study examines the impact of the two recent political and economic crises of March
2014 and June 2017 on the stock market dependence and volatility spillover between Qatar …

This paper empirically estimates the spatial correlation relationship of volatility spillovers
and its influencing factors across G20 stock market. We apply GARCH-BEKK model to …

In this article, we analyze the role of country-specific and global geopolitical risks (GPRs) on
the returns and volatility of 18 emerging market economies over the monthly period of 1998 …

This paper investigates stock returns volatility spillovers in emerging and developed markets
(DMs) using multivariate-GARCH (MGARCH) models and their variants. In addition, we …

Employing the spatial econometric model as well as the complex network theory, this study
investigates the spatial spillovers of volatility among G20 stock markets and explores the …

The onset of the novel coronavirus pandemic (COVID-19) and previous financial and
currency crises have heightened interest in understanding the nature of the interaction of …

This paper examines the changing nature of volatility spillovers among the US and eight
East Asian stock markets between two financial crises: the Asian currency crisis and the US …