Investor behavior in times of conflict: A natural experiment on the interplay of geopolitical risk and defense stocks
In: Journal of economic behavior & organization, Band 222, S. 294-313
ISSN: 1879-1751, 0167-2681
22 Ergebnisse
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In: Journal of economic behavior & organization, Band 222, S. 294-313
ISSN: 1879-1751, 0167-2681
In: Finance Research Letters, Band 102229, Heft 2021
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In: QMS Research Paper 2021/07, Journal of Economic Behavior & Organization, DOI: 10.1016/j.jebo.2021.11.028
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In: Energy Economics, S. 636–646
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In: Alqahtani , A & Klein , T 2021 , ' Oil Price Changes, Uncertainty, and Geopolitical Risks: On the Resilience of GCC Countries to Global Tensions ' , Energy . https://doi.org/10.1016/j.energy.2021.121541
We examine the long-term impact of oil prices, price uncertainty, and local and global geopolitical risks on Gulf Cooperation Council (GCC) stock markets from May 2007 to August 2018. We apply the ARDL methodology to all member states and control for other sources of risk such as implied volatility of equity and oil markets. This framework captures dependencies and connectedness' across several time horizons, quantifying the impact of geopolitical risk on GCC countries. While all markets are highly sensitive to changes in energy prices and volatility in the long run, only the stock market of Qatar is negatively affected by global geopolitical risk. All other member states are resilient on a global scale. The negative effects of local geopolitical events—measured as the Saudi Arabian geopolitical risk index—are much more pronounced for GCC members and highly significant. The results show that each GCC country responds differently to shocks in geopolitical uncertainty. Surprisingly, Saudi Arabia as the economic and political heavyweight of the GCC shows no long-term reaction to its local geopolitical risks. Our findings are relevant in terms of risk transmission and hedging for market participants as well as energy market supply and security for policy makers.
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In: QMS Research Paper 2019/06; Final Version of the Paper: 10.1016/j.resourpol.2021.102205, Resources Policy, Vol 73, 102205.
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In: Queen's Management School Working Paper 2023/01
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In: QMS Research Paper 2019/09
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In: Resources Policy, Forthcoming
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In: University of St.Gallen, School of Finance Research Paper No. 2018/19
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In: European Banking Institute Working Paper Series 2019 – no. 39
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In: University of St.Gallen, School of Finance Research Paper No. 2018/18
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In: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, Heft 428
ISSN: 2392-0041
In: International Review of Financial Analysis, Band 59
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