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Cited by 477

The DOI matches its Crossref record; 35 of the 35 references it cites were found in a registry or an index.

Geopolitical risks and stock market dynamics of the BRICS

Open access
Balcilar, Mehmet, Bonato, Matteo, Demirer, Riza, Gupta, Rangan·2018·Economic Systems
DOI 10.1016/j.ecosys.2017.05.008
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Abstract

This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical risks (GPRs) is found to be heterogeneous across the BRICS stock markets, suggesting that news regarding geopolitical tensions do not affect return dynamics in these markets in a uniform way. GPRs are generally found to impact stock market volatility measures, rather than returns, and often at return quantiles below the mean, indicating the role of GPRs as driver of bad volatility in these markets. While Russia bears the greatest risk exposure to GPRs in terms of both return and volatility, India is found to be the most resilient BRIC nation with no significant causality effects observed. We argue that a combination of factors including exposure to political and financial risks, the strength of domestic demand and exposure to the U.S dollar in foreign exchange reserves drive the heterogeneity in the reaction of these emerging stock markets to geopolitical risks.

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Metadata

Authors
Balcilar, M., Bonato, M., Demirer, R., & Gupta, R.
Venue
Economic Systems
Publisher
Elsevier BV
Published
2018-06
Volume
42
Issue
2
Pages
295-306
ISSN
0939-3625 (ISSN-L)
DOI
10.1016/j.ecosys.2017.05.008
OpenAlex
W2479661779
Cited by
477
References
35
FWCI
36.11
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Geopolitical risks and stock market dynamics of the BRICS. https://app.cochat.ai/papers/10.1016/j.ecosys.2017.05.008
The paper
Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems. https://doi.org/10.1016/j.ecosys.2017.05.008

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

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