This study addresses the influence of geopolitical risks on financial markets, as noticed in recent events like the COVID-19 pandemic and the Russia-Ukraine war. This study showcases a model combining financial indices with the Geopolitical Risk Index (GPRI), employing Bi-LSTM networks with attention mechanisms to analyze the data. This approach captures the nuanced effects of geopolitical events on market volatility. Focused on the pandemic period, our model offers insights into market dynamics during times of geopolitical unrest and serves as a predictive tool for market behavior in response to global events.
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Rathinavel et al. (2024) studied this question.