Narrow Results

This paper investigates Sino–US political relation (SUR) from global economic policy uncertainty (EPU), geopolitical risk (GPR), and technological innovation progress (TIP), using time-varying parameter-stochastic volatility-vector auto-regression (TVP-SV-VAR) model. The empirical results show that the relationship between SUR and the other three variables is unstable and time-varying. In detail, both EPU and TIP exert negative impacts on SUR, reflecting the US’s apprehension regarding its leading position in both economic and technological domains. Conversely, GPR shows a positive correlation with SUR, attributed to the necessity for China and the US to collaborate in international security events such as terrorism. A significant contribution lies in the development of a multi-dimensional theoretical framework centered on the Sino–US relationship. This framework effectively captures the dynamic nature of their relations across various time frequencies and points in time. Further, this paper provides advice that China should independently develop its technology and enhance economic strength, and is willing to compete with the US, while also seeking cooperation amidst competition.

This paper examines the impact of 410 terrorist attacks on the performance of five Asian stock markets. The empirical findings indicate that terrorism has a significant impact on the stock markets. Furthermore, the magnitude of these effects varies with respect to country, attack type, target type and severity of the attacks. In target type, terrorist attacks on business sector and security forces are particularly destructive for the stock markets. Likewise, in attack type, suicide attacks and bomb blasts particularly generate a significant downward movement in the stock markets. Furthermore, the more severe attacks have larger negative impact on market returns.

As the world is currently in turmoil, geopolitical crises and economic policy uncertainties are increasing significantly. This study aims to provide insight into the dynamics of time–frequency spillovers in the domains of crude oil, geopolitical risk, economic policy uncertainty and stock markets. It represents the first investigation analyzing the time-varying frequency connectedness across the aforementioned domains by adopting the time-varying parameter vector autoregression connectedness combined with the time-varying frequency connectedness measurement [Chatziantoniou et al., 2023]. The study covers the period from January 2004 to February 2023, including the 2008 financial crisis, the COVID-19 pandemic and the turmoil caused by the 2022 Russian–Ukrainian conflict. The analysis finds that short-term frequencies dominate return connectedness, indicating a rapid information processing mechanism responsive to short-run shocks. The stock market indices of oil-exporting countries, the US and the UK act as the primary transmitters of return spillovers. Volatility connectedness is driven by long-term frequencies, with Russia, Canada and the UK serving as the primary volatility spillover transmitters. Economic policy uncertainty is primarily influenced by oil-importing countries. Geopolitical risk mostly serves as the spillover receiver from crude oil, while it primarily transmits spillovers to economic policy uncertainty during major events such as terror attacks, conflicts and wars. The 2022 Russian–Ukrainian conflict amplifies spillovers to economic policy uncertainty. Intriguingly, conflicts deepen economic policy uncertainty, and prior to the conflict, stock market volatility had assimilated the influence of geopolitical risk shocks. The study also employs network topology to visualize spillover transmission mechanisms during the 2022 Russian–Ukrainian conflict.

This paper explores the variations in cross-correlations among the carbon trading market, geopolitical risk (GPR) and economic policy uncertainty (EPU), focusing on their multifractality and asymmetric properties. Therefore, the study employs the multifractal detrended cross-correlation analysis (MF-DCCA) and multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) approaches to examine these relationships from a three-dimensional perspective. Also, the study looks into cross-correlations at different phases of carbon trading. Our findings reveal that the multifractal cross-correlations between the carbon trading market and GPR or EPU exhibit anti-persistence and asymmetry. The anti-persistent cross-correlations are notably stronger when GPR experiences a downtrend or when EPU undergoes an uptrend. Furthermore, distinct fluctuation patterns emerge across various trends and scales on Hurst surfaces. In the short term, the carbon trading market exhibits heightened sensitivity to changes in GPR or EPU when they rise or fall. The cross-correlations remain multifractal, anti-persistent and asymmetric across different stages of carbon trading. Notably, the multifractality of cross-correlations is most pronounced for the series pair EUA/GPR in Phase II and for the series pair EUA/UK EPU in Phase III and Phase IV. Except for the series pair EUA/UK EPU in Phase II, the anti-persistent cross-correlations are more pronounced during uptrend than downtrend for the other series pairs. Moreover, the series pair EUA/UK EPU exhibits the highest degree of asymmetry at all stages.

In this research, we assess the influence of geopolitical risk (GPR), exchange rate (EXCH) and economic policy uncertainty (EPU) on South Korea stock market. Using monthly dataset covering the period from 1997 to 2021, we utilized the novel non-parametric causality-in-quantiles test initiated by Balcilar et al. (2017) to assess these associations. This study discovered that the effect of macroeconomic shocks in South Korea is diverse across the stock market, implying that the influence of these shocks is not consistent across the stock market in South Korea. Furthermore, this study revealed that the causal influence of EPU, GPR on the stock market is visible in mean and variance. Nonetheless, the causal influence of EXCH on the stock market can only be seen in the mean, with no indication of causation in the variance. We consider that these results are significant to South Korean stock market investors for the purposes of foreign portfolio diversification and establishing investing strategies during times of economic uncertainty.