Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303609 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2049477 [Year:] 2022 [Pages:] 1-24
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
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.
Subjects: 
Geopolitical risks
geopolitical acts
geopolitical threats
commodity futures contracts
returns and volatility
EGARCH
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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