Investigating the impact of geopolitical risks on the commodity futures

Cogent Economics & Finance

Sokratis Mitsas¹  Petros Golitsis¹  Khurshid Khudoykulov² 

[1] Business and Economics Department, The University of Sheffield International Faculty City College Thessaloniki, 3, Leontos Sofou Street, Thessaloniki, Greece;Finance and Taxes, Tashkent State University of Economics, I.Karimov 49 avenue, Tashkent, Uzbekistan;

关键词: Geopolitical risks;    geopolitical acts;    geopolitical threats;    commodity futures contracts;    returns and volatility;    EGARCH;   

DOI  :  10.1080/23322039.2022.2049477

来源: DOAJ

【 摘 要 】

This paper examines the effect of real-time global geopolitical risks (GPRs), acts (GPAs), and threats (GPTs) indices on monthly returns and volatility of several American commodity futures. By modeling volatility via an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH), we provide evidence that GPRs and GPTs do not only impact but trigger adverse effects on the returns of crude oil, gold, platinum, and silver, while GPAs negatively affect the returns of crude oil, heating oil, platinum, and sugar futures. Furthermore, GPTs have a weak positive effect on corn futures volatility. Overall, our findings provide portfolio diversification benefits by showing how the impact of global GPRs, GPAs and GPTs on portfolio returns could be mitigated.

【 授权许可】

Unknown