美国股市行业波动性和地缘政治风险类别

IF 7.1 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-04-01 Epub Date: 2025-02-14 DOI:10.1016/j.frl.2025.106916

Ioannis Chatziantoniou , David Gabauer , Alexis Stenfors

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引用次数: 0

摘要

本研究使用自回归模型考察了1995年5月至2024年11月期间地缘政治风险类别对美国行业股票市场波动的影响。我们发现，地缘政治风险类别的影响是显著的，并且具有高度的行业特异性。各行业对恐怖威胁的反应比对恐怖行为的反应更强烈。此外，战争升级和军事建设比战争威胁和战争开始产生更大的影响。最后，尽管近几十年来全球和平与核威胁一直很低，但它们助长了某些行业的波动。研究结果对政策制定者和投资者都很重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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US sectoral stock market volatility and geopolitical risk categories

This study examines the impact of geopolitical risk categories on US sectoral stock market volatility using an autoregressive model with exogenous inputs from May 1995 to November 2024. We find that the impact of geopolitical risk categories is significant and highly sector-specific. Sectors react more strongly to terror threats than to terror acts. Further, escalations of war and military build-ups exhibit a stronger impact than war threats and beginnings of war. Finally, although global peace and nuclear threats have remained low in recent decades, they contribute to volatility in certain industries. The results are important for policymakers and investors alike.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance