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In a nonparametric quantile-on-quantile regression model, we analyze the asymmetric financial impact of the Russian-Ukrainian conflict-induced geopolitical risk (GPR) on the top-seven emerging (E7) and developed (G7) stock markets. Our findings indicate that the impact of GPR on stock markets is not only market-specific but also asymmetric. Except for Russia and China, all E7 and G7 stocks respond positively to GPR in normal conditions. Among the E7 (G7) countries, stock markets from Brazil, China, Russia, and Turkey (France, Japan, and the US) are resilient to GPR in bearish stages. The portfolio and policy implications of our findings have been highlighted.
Bossman et al. (2023) studied this question.