Investigating the Impact of Geopolitical Risks on the Commodity Futures
Investigating the Impact of Geopolitical Risks on the Commodity Futures
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Date
2022-02-26
Authors
Sokratis Mitsas
Petros Golitsis
Khurshid Khudoykulov
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Publisher
Cogent OA, part of Taylor & Francis Group
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.
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Citation
Mitsas, Sokratis & Golitsis, Petros & Khudoykulov, Khurshid. (2022). Investigating the impact of geopolitical risks on the commodity futures. Cogent Economics & Finance. 10. 10.1080/23322039.2022.2049477.