Advances in Economics, Management and Political Sciences
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Proceedings of the 2023 International Conference on Management Research and Economic Development
Series Vol. 18 , 13 September 2023
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The Impact of Non-war Geopolitical Risk on Return and Implied Volatility on Stock
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Abstract
The impact of non-war geopolitical risks on stocks has not been adequately studied in the academic literature. This paper intends to explore whether disputes between countries or related political news have some impact on stocks prior to the occurrence of war. This paper focused on examining the impact of non-war geopolitical risks on the returns and implied volatility of the call option related to Taiwan Semiconductor Manufacturing Company’s stock. In this paper, different models are used to predict the stock returns and the implied volatility of some call options related to this stock and then compares the estimation with the real data in order to perform hypothesis testing to determine whether the difference is significant. This paper found that non-war geopolitical controversies do not affect the stock returns, but that investors' reaction to risk can be affected differently depending on the nature of the event.
Keywords
geopolitical risk, stock return, implied volatilitygeopolitical risk, implied volatility
References
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2023 International Conference on Management Research and Economic Development
- ISBN (Print)
- 978-1-915371-79-9
- ISBN (Online)
- 978-1-915371-80-5
- Published Date
- 13 September 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/18/20230063
- Copyright
- 13 September 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited