The current issue and full text archive of this journal is available on Emerald Insight at:

[Link]

Revisiting the impact of Impact of

geopolitical
geopolitical risk on Sukuk, stocks, risk

oil and gold markets during the

crises period: fresh evidence
from wavelet-based approach Received 20 December 2022
Revised 16 July 2023
Accepted 14 August 2023
Mustafa Raza Rabbani
Department of Economics and Finance, College of Business Administration,
University of Bahrain, Sakheer, Bahrain
[Link] Hassan
Department of Economics and Finance, University of New Orleans,
New Orleans, Louisiana, USA
Syed Ahsan Jamil
Department of Finance and Economics,
College of Commerce and Business Administration, Dhofar University,
Salalah, Oman
Mohammad Sahabuddin
Faculty of Business Administration,
University of Science and Technology Chittagong, Chattrogram, Bangladesh, and
Muneer Shaik
School of Management, Mahindra University, Hyderabad, India

Abstract
Purpose – In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite
stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and
Russia–Ukraine conflict period.
Design/methodology/approach – The study used a mix of wavelet-based approaches, including
continuous wavelet transformation and discrete wavelet transformation. The analysis used data from the
Geopolitical Risk index (GP{R), Dow Jones Sukuk index (SUKUK), Dow Jones Islamic index (DJII), Dow Jones
composite index (DJCI), one of the top crude oil benchmarks which is based on the Europe (BRENT) (oil fields in
the North Sea between the Shetland Island and Norway), and Global Gold Price Index (gold) from May 31, 2012,
to June 13, 2022.
Findings – The results of the study indicate that during the COVID-19 and Russia–Ukraine conflict period
geopolitical risk (GPR) was in the leading position, where BRENT confirmed the lagging relationship. On the
other hand, during the COVID-19 pandemic period, SUKUK, DJII and DJCI are in the leading position, where
GPR confirms the lagging position.
Originality/value – The present study is unique in three respects. First, the authors revisit the influence of
GPR on global asset markets such as Islamic stocks, Islamic bonds, conventional stocks, oil and gold. Second,
the authors use the wavelet power spectrum and coherence analysis to determine the level of reliance based on
time and frequency features. Third, the authors conduct an empirical study that includes recent endogenous

JEL Classification — C36, C51, G01, G11

Since acceptance of this article, the following author have updated their affiliations: Mustafa Raza Managerial Finance
Rabbani is at the College of Business Administration, University of Khorfakkan, Khorfakkan, Sharjah, © Emerald Publishing Limited
0307-4358
United Arab Emirates. DOI 10.1108/MF-12-2022-0587
MF shocks generated by health crises such as the COVID-19 epidemic, as well as shocks caused by the geopolitical
danger of a war between Russia and Ukraine.
Highlights
(1) We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold
markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine
conflict period.
(2) The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have
observed the highest mean return during the study period.
(3) GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.
(4) Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19
pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and
Russia–Ukraine conflict.
Keywords COVID-19, Geopolitical risk, Islamic economics, Sukuk, Wavelet-based approach, Russia–Ukraine,
Jones Sukuk, Islamic, Composite, Crude oil (BRENT) and gold index
Paper type Research paper

1. Introduction
The world economy is going through a massive transformation as it has recently witnessed
three major financial shocks: COVID-19 pandemic, Russian invasion of Ukraine and oil price
slump. The combination of these economic shocks is likely to have a long-term impact on the
global economy due to price rise, loss of employment and panic all around (Hassan et al., 2020).
The impact of COVID-19 and Russia–Ukraine war has already caused tremendous impact on
the stock market volatility, geopolitical risk (GPR), Dow Jones Sukuk indices, Islamic, composite,
crude oil (BRENT) and gold prices (Shaik et al., 2023). Various studies such as Bogdan et al., 2021,
Kheni and Kumar (2021), Ma et al. (2021), So et al. (2021) and Thorbecke (2022) unveiled the
economic disruptions caused by the pandemic and its effect on the various financial markets.
Similarly, Ahmed et al. (2022), Boungou and Yati
e (2022) and Sun and Zhang (2022) document
the financial markets and its response to the Russian invasion of Ukraine on February 24, 2022.
GPR seems to have a strong impact on the financial as well commodity markets (Be˛ dowska-
S
ojka, 2022). The European Central Bank and International Monetary Fund have identified GPR
as the prominent risk factor to the global economic outlook. It consists of the wide array of risk
associated with the conflict between the nations including war, terrorist act and tension that
affect the international relation and the risk that arises due to these events. Some of the major
geopolitical events that impacted the returns of the financial market include Brexit news in June
2016, election of Donald Trump and Joe Biden as the US president in 2016 and 2020, respectively,
and announcement of Russia invasion of Ukraine in February 2022 (Hasan et al., 2022; Abdulla
and Rabbani, 2021). Bouras et al. (2019) conducted a survey of one thousand investors and
reported that around three-quarters of the investors believe that the diplomatic and political
risks have significant impact on the financial market return. The survey concluded that GPRs
have higher impact on the financial market returns as compared to the political uncertainty in
the ranking of factors; a finding that needs to be empirically tested and that motivates our study.
In the financial market sphere, COVID-19 pandemic and its economic disruptions are often
compared with the global financial crisis of 2008, mainly in financial contagion, spillover and
interconnectedness literature (e.g. Choi, 2021; Heller and Phillips, 2020; JEBABLI et al., 2022;
Mensi et al., 2022; Pence, 2022; Rizvi and Itani, 2022; Yousaf et al., 2022; Sraieb et al., 2022).
Several recent studies including Bouri et al. (2019), Abbas et al. (2022) and Ndako et al. (2021)
concluded that Islamic securities including stock and SUKUK are more resilient to the
geopolitical shocks as compared to its conventional counterparts and can serve as a safe haven
for the investors during the financial crises. In an another study, Tiwari et al. (2020) concluded
that gold can serve as a safe hedge against the oil returns in the short and medium run, but in the
long run, it cannot protect the investors against the increasing oil prices due to the GPRs. Few Impact of
studies incorporate the impact of GPR on Islamic and conventional stocks and concluded that geopolitical
during the GPRs, the Islamic and conventional stocks respond in the similar manner (Abbass
et al., 2022; Agoraki et al., 2022; Ho et al., 2021; Kamal et al., 2022; Li et al., 2022; Sohag et al., 2022a,
risk
b; Zhang and Hamori, 2022; Rabbani et al., 2022). Abbass et al. (2022) further concluded that
Islamic and conventional stocks are a good hedge against the geopolitical rise in oil prices.
In our paper, we present the analysis of the impact of geopolitics risk on Islamic and
conventional stocks, Sukuk, oil and gold markets and portfolio diversification implications during
the COVID-19 pandemic and Russia–Ukraine conflict period. The current study contributes to the
existing literature in multiple ways. First, we revisit the impact of GPR on global asset markets
that include Islamic stock, Islamic bond, conventional stock, oil and gold markets. Second, we
employ the wavelet power spectrum (WPS) and coherence analysis to understand the level of
dependency based on time- and frequency-based properties. Third, we conduct the empirical
analysis that covers the recent endogenous shocks caused due to health crises like COVID-19
pandemic and the shocks caused due to the GPR between Russia–Ukraine war. Apart from the
theoretical contribution, the present study will be useful for a broad range of market participants
including investors, governments and policy makers. The result of the present study is clearly an
important avenue for the investors, portfolio managers, regulators and policy makers as it
provides a complete diversification basis in Islamic as well as conventional assets.
We employ the combination of wavelet-based techniques including continuous wavelet
transformation (CWT) and discrete wavelet transformation (DWT) techniques. The study
utilized the data from GPR, Dow Jones Sukuk, Islamic, composite, crude oil (BRENT) and gold
index data, respectively, over the period between May 31, 2012, and June 13, 2022. The model
reveals that Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility
during the COVID-19 pandemic period and comparatively gold observes lower variance
during the COVID-19 pandemic and Russia–Ukraine conflict. GPR and BRENT are estimated
to have the highest amount of risk throughout the observation period. The study further
concludes that the results of the wavelet-based approach show that Dow Jones composite and
Islamic indexes have observed the highest mean return during the study period.
We organize the remaining study as follows: Section 2 provides a review of literature and
Section 3 explain the data and methodology adopted in the study. Section 4 presents the
empirical results, and finally in Section 5, we conclude.

2. Review of literature and theoretical framework

2.1 Theoretical framework
A new panic in the market, including the equities and commodity markets, was provoked by
Russia’s recent invasion on Ukraine when the global economy was still recuperating from the
COVID-19 epidemic’s effects. The most recent attack in Ukraine (2022) disrupted the supply chain
once more, driving up the cost of commodities and stocks. The prolonged confrontation between
Russia and Ukraine will unavoidably influence the world economy because Russia is the third-
largest oil producer in the world and heavily depends on exports of metals, gas and mining. The
world economy has experienced three significant crises in the last 15 years: the 2008 global
financial crisis, the COVID-19 pandemic and the Russia–Ukraine war. To offer a theoretical
foundation for this link, we analyze the pertinent studies on the influence of GPR on stock, oil, gold
and Sukuk returns during the COVID-19 and Russia–Ukraine War in the section that follows.
Economic markets appear to be affected by geopolitical events (Gkillas et al., 2020). According
to Caldara and Iacoviello (2018), GPRs incorporate wars, acts and tensions created by terrorists
among states that modify worldwide relationships and the dangers that originate from the boom
of the modern-day actions. Using nonparametric causality-in-quantiles tests, Balcilar et al. (2018)
demonstrate that GPR is found to have negative impact on the BRICS stock market volatility
MF measures and suggests that GPRs play a role in these markets as a source of unfavorable
volatility. Bouri et al. (2019) investigate the causality among GPR and Islamic equity and Sukuk
bonds and discover that GPRs are typically seen to have an impact on Islamic equity market
volatility indicators compared to returns. GPRs, however, frequently forecast Islamic bond
returns as well as volatility measures. Using quantile-on-quantile estimations, the research work
by Aysan et al. (2019) unearths that changes in the GPR index can predict Bitcoin returns and
volatility of prices. Further Bitcoin may be used as a hedge throughout severe geopolitical events.

2.2 Review of literature

This section examines existing empirical studies on the effects of GPR on stock, oil, gold and
Sukuk returns during the recession of 2008, COVID-19 and the Russia–Ukraine war to
provide a theoretical basis for this association. According to Cunado et al. (2020), who used a
time-varying parameter structural vector autoregressive (TVP-SVAR) model, GPRs
generally have a major negative influence on oil returns. This is mostly because of the
reduction in oil demand that is being recorded by global economic activity. According to
Antonakakis et al. (2017), GPR has a detrimental effect on oil returns as well as volatility.
Using a time-varying copula technique, Li et al. (2020) discover the stochastic association
amid geopolitical factors and crude oil prices exhibit significant time-varying volatility
during times of political unrest. Based on a three-regime Markov-switching technique, Hoque
et al. (2020) discover that the impact of GPR uncertainty on stock market returns is nonlinear
and asymmetric. Using a scalar-BEKK framework, Filippidis et al. (2020) demonstrate that
the connections between sovereign yield spreads and oil price shocks are in fact time-varying
and are affected by certain economic and geopolitical events.
In their study of six crude oil market segments at various timescales, Ouyang et al. (2021)
used the spillover network model proposed by Barun
ık and Krehl
ık (2018) to examine the
return and volatility spillover effects and their time-varying behavior. They found that long-
term volatility spillovers sharply increased in response to oil-related events in the
postfinancial crisis era. Aloui et al. (2021) use M-GARCH modeling to discover that the
GPR increases the dependence of gold-backed cryptocurrencies on gold returns and
volatility. According to the study, conventional cryptocurrencies have only a weak and
unfavorable relationship with gold, whereas Sharia-compliant ones have a strong positive
correlation with the yellow metal.
COVID-19 pandemic has created turbulence in the global financial markets (Salisu et al.,
2020; Singh et al., 2021; Shaik et al., 2022). Atri et al. (2021) found, using the ARDL approach, that
the Covid-19 deaths and panic had an adverse effect on crude oil prices but an optimistic effect
on gold prices, suggesting gold as a safe haven during pandemic. Using a variance
decomposition approach, Costola et al. (2022) note that COVID-19 reduces the volatility of
energy commodities and raises the volatility of the stock market. By using an EGARCH model
to simulate volatility, Mitsas et al. (2022) discover that GPRs and GPTs have a negative effect on
the returns of crude oil, silver, platinum and gold. Sohag et al. (2022a, b) find the total
connectedness index (TCI) between the US, Chinese and Russian markets using the TVP-VAR
technique. They then use the quantile-on-quantile framework to measure the connectedness
indices response to GPR and conclude that GPR inhibits TCI during bullish states.
The effect of uncertainty risk on crude oil prices is examined by Song et al. (2022) using the
TVP-SV-VAR model. They discover that economic policy uncertainty (EPU) has a much larger
effect on oil prices than GPR. Salisu et al. (2022) note that even after adjusting for oil price, GPR
and EPU, the single-factor prediction model for pandemics and epidemics still shows that Islamic
stocks have better hedging potential than conventional stocks during the COVID-19 pandemic.
The effects of policy uncertainty, GPR and VIX conditional on various market situations are
documented by Abakah et al. (2022) using fifteen worldwide equity markets as the basis. Based
on multifractal detrended cross correlation analysis, Aslam et al. (2022) discovered nonlinear Impact of
dependencies among GPR and energy markets and noted that multifractality is robust among geopolitical
GPR and WTI compared to other energy marketplaces like natural gas, BRENT and heating oil.
Sharif et al. (2020) show the unparalleled effects of COVID-19 and oil price shocks on the
risk
GPR, EPU and stock market volatility using the coherence wavelet technique and wavelet-
based Granger causality testing. According to the analysis, the COVID-19 has a far bigger effect
on GPR than it does on EPU of the US. Using partial and multiple wavelet coherence analysis,
Choi (2022) found interdependency between GPR and the unpredictability of North-East Asian
stock indices. Ding et al. (2022) employ the QQR approach based on the wavelet transform to
study the heterogeneous effects of EPU, GPR and climate policy uncertainty at different time
scales on crude oil prices. Geopolitical concerns and uncertainty in global economic policy have
a major long-term impact on variations in the price of oil, according to Wang et al. (2022), who
employ a bivariate quantile causality nonparametric test and wavelet coherence analysis.

3. Methodology
3.1 Data
The empirical study examines the effect of GPR on Sukuk, stocks, oil and gold markets in
global perspectives, and this study captures two major issues such as the ongoing Russia–
Ukraine conflict and COVID-19 pandemic. However, we use in this paper GPR, Dow Jones
Sukuk, Islamic, composite, crude oil (BRENT) and gold index data. Moreover, we use daily
data in this study and the study period covers from May 31, 2012, to June 13, 2022. Data have
been collected from the Thomson Reuters DataStream. The sample period is selected to
compare the outcomes to the COVID and pre-COVID periods and with the period of Russia–
Ukraine war. We provided a discussion on the purpose behind choosing the sample period.

3.2 Model specification

This study specified the using log return form. The study captures the popular return
transformation model, which calculates the present days’ value or prices (pt) divided by the
previous days’ (pt
1) value or prices. The equation of the model specification is as follows:


Rt ¼ log Pt=P 3 100 ¼ ðlog Pt
log Pt−1 Þ 3 100 (1)
t−1

where Rt presents the return index; pt and pt
1 exhibit the present days and previous days’
values, respectively. Moreover, to revisiting the impact of GPR on the Sukuk, Islamic and
composite stock, crude oil and gold return, we apply WPS and coherences approaches. As an
advanced econometric, wavelet approaches are very popular use in economic and finance
literature nowadays (Sahabuddin et al., 2022a, b; Tien and Hung, 2022; Vukovic et al., 2021).
These techniques are widely applicable in physics, engineering and economics literature.
Simultaneously, it can capture the data in time and frequency domain properties and convert
it into signal and image processing characteristics. Particularly, the emphasis of these
approaches is to measure the multistage properties and to check whether there is a significant
level of dependency in it? In addition, time-frequency-based properties help to understand
higher (lower) scales properties in a better way (Aguiar-Conraria et al., 2008).This technique,
moreover, is suitable to overcome the stationarity problem in time series data (Yang et al.,
2017; Antonakakis et al., 2018). Notably, it is run by a small wave that grows and declines over
time. The functions of wavelet are as follows:


1 t
τ
Ψτ; sðtÞ ¼ pffiffiffiffiffiffi Ψ s; τeR; s ≠ 0 (2)
jSj s
MF where s denotes the length and τ denotes the position of the parameter. Therefore, the
normalization dynamic is denoted by s, and the frequency-scale relationship is denoted by τ.
Additionally, Morlet-based wavelet technique is used in this study to explain the father
(smoothest) and mother (details) roles of the wavelet family. These functions are frequently
used in economics and finance literature due to their significant implications from practical as
well as theoretical standpoints (Reboredo et al., 2017). The mathematical specification of this
method is as follows:
1
Ψm ðtÞ ¼ 1=4 eiϖot e−t =2
2
(3)
4π
where 4π1/4 denotes the wavelet energy, and it is also known as a band and central frequency.
ϖo states to the localizations that keep the balance between frequency and time. Moreover,
e-t2/2 directs the Gaussian envelope, and eiϖot shows a complex wavelet analytic. The wavelet
approach comprises two areas, that is, the CWT and DWT techniques. CWT has more
application and widely accepted technique due to simple but colorful orientation. DWT is a
multiresolution-based wavelet approach composing and decomposing the data (Aguiar and
Soares, 2011).
Z ∞

1 t
WxðSÞ ¼ X ðtÞ pffiffiffiffiΨ* (4)
−∞ S S

where Ψ denotes the characteristics of the (mother) wavelet approach and * denotes the
multifaceted link among these characteristics. Furthermore, τ represents the conversion of
the parameter and S represents the scales of the parameter.
 

S s−1 W x=y nðsÞj
2

Rn2 ðSÞ ¼   (5)

S s−1 Wnx ðsÞj•Sðs−1 jWnðsÞy j2

where R2 denotes the coherence of the wavelet, whereas S highlights the smoothing operator.

Coherence for wavelets can be defined as

4. Results
4.1 Preliminary analysis
Figure 1 displays the price movement of GPR, Dow Jones Sukuk, Islamic and composite and
crude oil (BRENT) and gold. The price movement is expressed in terms of US dollar. We
highlight the highly volatile regions of COVID-19 and Russia–Ukraine conflict periods in red
color bars for the price movements. We observe that the COVID-19 pandemic and Russia–
Ukraine conflict have a significant impact on all the variables during the study period.
Figure 2 presents the return movement of geopolitical risk index (GPR), Dow Jones Sukuk,
Islamic and composite and crude oil (BRENT) and gold. The return movement is expressed in
terms of US dollars and calculated using model specification technique. This study captures
the popular return transformation model, which calculates the present days’ value or prices
(pt) divided by the previous days’ (pt-1) value or prices and then multiplying by 100. In our
study period, we highlight two major crises periods in red color bars for the return
movements. The findings observe that the two crises have a significant impact on all the
variables during the study period.
 GPR SUKUK

600 220

500
200

400
180
300
160
200

140
100

0 120
12 13 14 15 16 17 18 19 20 21 22 12 13 14 15 16 17 18 19 20 21 22

DJII DJCI
7,000 14,000

6,000
12,000

5,000
10,000
4,000
8,000
3,000

6,000
2,000

1,000 4,000
12 13 14 15 16 17 18 19 20 21 22 12 13 14 15 16 17 18 19 20 21 22

BRENT GOLD
160 2,200

2,000
120
1,800

80 1,600

1,400
40
1,200

0 1,000
12 13 14 15 16 17 18 19 20 21 22 12 13 14 15 16 17 18 19 20 21 22

Source(s): Authors’ own calculation

geopolitical
Impact of
risk

period. Geopolitical
Figure 1.

performance
indexes price
and composite stock,
risk, sukuk, Islamic
Price movement of

crude oil, and gold

movement
during the sample
selected asset classes
 MF

Figure 2.

Geopolitical risk,

return movement
sukuk, Islamic and

oil and gold indexes

Return movement of
selected asset classes.

composite stock, crude

lngpr lns ukuk
150 0.6

100 0.4

0.2
50
0.0
0
–0.2
–50
–0.4

–100 –0.6

–150 –0.8
12 13 14 15 16 17 18 19 20 21 22 12 13 14 15 16 17 18 19 20 21 22

lndjii lndjci
4 6

4
2

2
0
0
–2
–2

–4
–4

–6 –6
12 13 14 15 16 17 18 19 20 21 22 12 13 14 15 16 17 18 19 20 21 22

lnbrent lngold
20 6

4
10

2
0
0
–10
–2

–20
–4

–30 –6
12 13 14 15 16 17 18 19 20 21 22 12 13 14 15 16 17 18 19 20 21 22

Source(s): Authors’ own calculation

4.2 Descriptive statistics Impact of
Table 1 shows the descriptive statistics for the period of May 31, 2012, to June 13, 2022. The geopolitical
results show that Dow Jones composite and Islamic indexes have observed the highest mean
return with a value of 0.0108 and 0.0105, respectively. On the other hand, GPR and BRENT
risk
have estimated the highest amount of risk (highest standard deviation with a value of 23.1812
and 1.0895). All variables exhibited negative skewness expect GPR. All the return series are
leptokurtic in nature. In addition, the Jarque-Bera statistics indicate that the normal
distribution assumption is rejected for all series at 1% significance level. The augmented
Dicky–Fuller (ADF) analysis is conducted for unit root testing. The results reveal that null
hypothesis of a unit root cannot be rejected in all cases in levels at 1% significance level. This
indicates that all variables are stationary in levels.
Further, correlation matrix is shown in Table 2. The results report that GOLD is highly
correlated and DJGI is least correlated with GPR. We observe that there is a negative
correlation between DJGI and GOLD. Further, we find that there is a positive correlation
between WTI and GOLD and between WTI and DJGI.

4.3 Wavelet power spectrum (WPS)

We use the WPS and wavelet coherence transformation (WCT) approach in the present
study. The vertical and horizontal axis present time and frequency band scales, respectively.
The study covers the period from May 31, 2012, to June 13, 2022. The time span
corresponding to 50–150 days represents the following time periods: 500 (May 31, 2012–
December 10, 2013), 1,000 (December 11, 2013–February 24, 2015), 1,5005 (February 25,
2015–July 8, 2016), 2000 (July 8, 2016–November 20, 2017), 2,500 (November 20, 2017–April 4,
2019), 3,000 (April 4, 2019–August 16, 2020) and 3,500 (August 16, 2020–December 29, 2021).
Further, we can divide the scales into three different holding periods such as (1) 2–16 scale
that indicates the short-term holding period; (2) 16–64 scale that refers to the mid-term
holding period; and (3) 64–1,024 scale that relates to the long-term holding period.
Figure 2 exhibits the WPS result using red and blue color regions. Particularly, WPS
measures the variance of economic series using both time and frequency components
(Dahir et al., 2018; Dewandaru et al., 2017). Blue regions indicate low variations, red regions
indicate high-intensity or variations among the series, whereas green regions indicate no
variation. A thick contour exhibits a 5% significance level on the estimation of Monte Carlo
simulations that randomized surrogate time series. The findings from the WPS analysis
illustrate that high variances are observed for GPR and BRENT in short-term and mid-term
scales during the COVID-19 pandemic period. Moreover, high variances are also found during
the Russian invasion of Ukraine period after February 2022 in all scales. However, Dow Jones
Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19
pandemic period and comparatively gold observes lower variance during the two crises
(Mensi et al., 2022) See (Figure 3).

4.4 Wavelet coherence transformation (WCT)

We investigate in this study the effect of GPR on the Sukuk, Islamic and conventional stock,
BRENT and gold prices return during the two crises. We present the wavelet coherence
pairwise findings between GPR vs SUKUK, GPR vs DJII, GPR vs DJCI, GPR vs BRENT and
GPR vs GOLD in Figure 4. WCT is a very suitable approach for measuring the degree of
comovement and lead–lag relationship between two variables (Habib et al., 2021; Jiang and
Yoon, 2020). However, the degree of comovement is important for investors and fund
managers for taking investment and asset allocation decisions. Red regions indicate the
strong comovement and blue regions depict the low-level comovement and better portfolio
diversification benefits. The red islands at the bottom (top) of the wavelet coherence plot
 MF

Table 1.
Summary of
descriptive statistics
GPR SUKUK DJII DJCI BRENT GOLD

Mean
0.0011 0.0039 0.0105 0.0108 0.0025 0.0022

Std. Dev 23.1812 0.0459 0.3297 0.3815 1.0895 0.4490
Skewness 0.1392
2.3311
1.1068
1.1114
3.6476
0.1626
Kurtosis 4.8381 37.4151 26.0675 40.2415 159.1291 45.2735
Jarque-Bera 527.9261 184237.7000 82028.2200 212607.9000 3731609.0000 272987.4000
Observations 3,666 3,666 3,666 3,666 3,666 3,666
ADF
2.8621***
2.8621***
2.8621***
2.8621***
2.8621***
2.8621***
Note(s): ADF stands for augmented Dickey–Fuller unit root test and *** indicates 1%, ** indicates 5% and * indicates 10% significance level. GPR, WTI and DJGI stand
for geopolitical risk index, West Texas Intermediate crude oil price and Dow Jones global index, respectively
Source(s): Authors’ own calculation
indicate a strong correlation at low (high) frequency. On the other hand, the top (bottom) blue Impact of
island indicates a lower correlation at high(low)-frequency. Moreover, among all the geopolitical
variables, GPR significantly affected BRENT during the two crises period. Particularly, GPR
and BRENT are highly correlated in the long-term holding period (64–1,024 scale) during
risk
pandemic and Russia–Ukraine episodes. Interesting, the evidence also reports that trend was
started from 2014, and it has prolonged to the end of this study span. However, Dow Jones
Sukuk, Islamic and composite stock are correlated with GPR for very limited time at 64–128
scale in March 2020 to August 2020.

4.5 Portfolio implications

Figure 5 presents the portfolio implication between Sukuk versus Islamic stock, Sukuk
versus composite stock, Sukuk versus BRENT and Sukuk versus gold markets. The findings
show that among the four variables, Sukuk versus BRENT are more suitable markets that
can provide better portfolio benefits except the COVID-19 pandemic period at 65–128 scale.
However, the higher correlation between Sukuk and BRENT was observed from mid of
November 2018 to January 2021. In addition, Figure 6 indicates that there is no portfolio
opportunity between DJII and DJCI in all scale and investment horizons. These two markets
are highly correlated with each other in all time and frequency domains. However, DJII and
DJCI have potential for diversification benefits with BRENT and gold except the COVID-19
pandemic period (Naeem et al., 2023). During the pandemic period, the Islamic and composite
both are highly interconnected with Bent and gold.

4.6 The lead–lag relationship

Figure 7 also illustrates the phase differences among the variables in frequency and time
domain properties. The significant differences between the two series are detected by the
trend of the arrow. The right (←) and left (→) arrow points out when two variables (e.g. GPR
vs SUKUK, GPR vs DJII, GPR vs DJCI, GPR vs BRENT and GPR vs GOLD) are in same
movement or direction. Right pointing upward arrow (↗) and left-pointing downward (c)
arrows indicate first variables that is GPR is leading while left-pointing upward arrow (↖)
and right-pointing downward (a) arrows indicate second variables that is SUKUK is leading
and first variable GPR is lagging.
The findings from Figure 3 suggest that during the COVID-19 and Russia–Ukraine
conflict period GPR was in the leading position, where BRENT confirmed the lagging
relationship. On the other hand, during the COVID-19 pandemic period, SUKUK, DJII and
DJCI are in the leading position, where GPR confirms the lagging position. Moreover, the
evidence from Figure 4 confirms that DJII and DJCI are in the leading position, where SUKUK
shows its lagging relationship (Shaik et al., 2023; Rabbani et al., 2022). On the other hand,
BRENT and Gold are in the leading position against SUKUK, DJII and DJCI.

GPR UKUK DJII DJCI BRENT GOLD

GPR –
SUKUK
0.0051 –
DJII 0.0090 0.1655 –
DJCI 0.0180 0.0865 0.8498 –
BRENT
0.0130 0.0734 0.2903 0.2549 –
GOLD 0.0018 0.1829 0.0602 0.0146 0.0773 – Table 2.
Source(s): Authors’ own calculation Correlation matrix
MF

Figure 3.
Results of the wavelet
power spectrum.
Wavelet power
spectrum- GPR,
SUKUK, DJII, DJCI,
BRENT and GOLD

5. Conclusion
The period of crises, which included COVID-19 and the Russia–Ukraine war, increased GPR
on a global scale and had varying effects on different markets. We examine the effects of GPR
on Sukuk, Islamic and composite stocks, the oil and gold markets, and the implications for
portfolio diversification by using the wavelet coherency approach, which enables
simultaneous investigation of comovements at multiple frequencies and throughout time.
The findings of this observation show that GPR has high variations during the Russia–
 Impact of
geopolitical
risk

Figure 4.
Wavelet coherence
plots. Wavelet
coherence plots: GPR
vs SUKUK, GPR vs
DJII, GPR vs DJCI, GPR
vs BRENT and GPR
vs GOLD

Ukraine war period as compared to COVID-19 pandemic period. However, Sukuk, DJII and
DJCI show the highest variation during COVID-19 pandemic period, while the least variation
observed in the Russia–Ukraine conflict period. The impact of GPR is strongly observed on
crude oil (BRENT) during the two crises period. However, the impact of GPR is only observed
in the COVID-19 period. It does not prolong the Russia–Ukraine conflict period.
In addition, the findings exhibit that among the four variables, Sukuk versus BRENT is
more suitable for better portfolio benefits except the COVID-19 pandemic period at 65–128
scale. However, the higher correlation between Sukuk and BRENT was observed from mid of
November 2018 to January 2021. In addition, Figure 5 indicates that there is no portfolio
opportunity between DJII and DJCI in all scale and investment horizons. These two markets
are highly correlated with each other in all time and frequency domains. However, DJII and
MF

Figure 5.
Portfolio implications.
Wavelet coherence
plots: SUKUK vs DJII,
SUKUK vs DJCI,
SUKUK vs BRENT,
SUKUK vs GOLD

DJCI have potential for diversification benefits with BRENT and gold except the COVID-19
pandemic period. The findings from the lead–lag analysis suggest that during the COVID-19
and Russia–Ukraine conflict period GPR was in the leading position, where BRENT
confirmed the lagging relationship. On the other hand, during the COVID-19 pandemic
period, SUKUK, DJII and DJCI are in the leading position, where GPR confirms the lagging
position. Moreover, the evidence from Figure 4 confirms that DJII and DJCI are in the leading
position, where SUKUK shows its lagging relationship. On the other hand, BRENT and Gold
are in the leading position against SUKUK, DJII and DJCI. The results of this study provide
new understanding of the variety of the investment horizon and highlight the hazardous and
safe-haven features during the big turbulence periods for international investors, fund
managers and governments. As a result, risk managers and investors should adapt their
choices to the speed of asset response.
Future research may find it more intriguing to focus on the effects of oil price shocks on
gold, stock markets, Islamic and conventional cryptocurrencies and other specific financial
assets rather than stock indexes as a whole. The broad stock market indices may conceal the
distinguishing features of various industrial sectors. The effects of GPR on oil price shocks
and other financial assets such as currency rates and commodity price indices, such as
industrial metals or agricultural commodities that are included in investment portfolios are
an exciting subject for future research.
 Impact of
geopolitical
risk

Figure 6.
Wavelet coherence
plots: DJII vs DJCI, DJII
vs BRENT, DJII vs
GOLD, SUKUK vs
GOLD, DJCI vs
BRENT, DJCI vs GOLD
and BRENT vs GOLD

out-of-phase In-phase

The second variables is leading The first variables is leadibg

The first variables is leading The second variables is leading

Figure 7.
Source(s): Authors’ own calculation Lead–lag relationship
MF References
Abakah, E.J.A., Tiwari, A.K., Alagidede, I.P. and Gil-Alana, L.A. (2022), “Re-examination of risk-return
dynamics in international equity markets and the role of policy uncertainty, geopolitical risk
and VIX: evidence using Markov-switching copulas”, Finance Research Letters, Vol. 47, 102535.
Abbass, K., Sharif, A., Song, H., Ali, M.T., Khan, F. and Amin, N. (2022), “Do geopolitical oil price risk,
global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical
evidence from QARDL approach”, Resources Policy, Vol. 77, doi: 10.1016/[Link].2022.102730.
Abdulla, Y. and Rabbani, M.R. (2021), “COVID-19 and GCC islamic market indices”, 2021
International Conference on Sustainable Islamic Business and Finance, pp. 56-60.
Agoraki, M.-E.K., Kouretas, G.P. and Laopodis, N.T. (2022), “Geopolitical risks, uncertainty, and stock
market performance”, Economic and Political Studies, Vol. 10 No. 3, pp. 253-265, doi: 10.1080/
20954816.2022.2095749.
Aguiar-Conraria, L. and Soares, M.J. (2011), “Oil and the macroeconomy: using wavelets to analyze old
issues”, Empirical Economics, Vol. 40 No. 3, pp. 645-655.
Aguiar-Conraria, L., Azevedo, N. and Soares, M.J. (2008), “Using wavelets to decompose the time–
frequency effects of monetary policy”, Physica A: Statistical Mechanics and its Applications,
Vol. 387 No. 12, pp. 2863-2878.
Ahmed, S., Hasan, M.M. and Kamal, M.R. (2022), “Russia–Ukraine crisis: the effects on the European
stock market”, European Financial Management, Vol. 29 No. 4, pp. 1078-1118, doi: 10.1111/
eufm.12386.
Aloui, C., Hamida, H.B. and Yarovaya, L. (2021), “Are Islamic gold-backed cryptocurrencies
different?”, Finance Research Letters, Vol. 39, 101615.
Antonakakis, N., Gupta, R., Kollias, C. and Papadamou, S. (2017), “Geopolitical risks and the oil-stock
nexus over 1899-2016”, Finance Research Letters, Vol. 23, pp. 165-173.
Antonakakis, N., Gabauer, D., Gupta, R. and Plakandaras, V. (2018), “Dynamic connectedness of
uncertainty across developed economies: a time-varying approach”, Economics Letters, Vol. 166,
pp. 63-75.
Aslam, F., Ferreira, P., Ali, H. and Jos
e, A.E. (2022), “Application of multifractal analysis in estimating
the reaction of energy markets to geopolitical acts and threats”, Sustainability (Switzerland),
Vol. 14 No. 10, p. 5828.
Atri, H., Kouki, S. and Gallali, M.I. (2021), “The impact of COVID-19 news, panic and media coverage
on the oil and gold prices: an ARDL approach”, Resources Policy, Vol. 72, 102061.
Aysan, A., Demir, E., Gozgor, G. and Lau, C. (2019), “Effects of the geopolitical risks on Bitcoin returns
and volatility”, Research in International Business and Finance, Vol. 47, pp. 511-518.
Balcilar, M., Bonato, M., Demirer, R. and Gupta, R. (2018), “Geopolitical risks and stock market
dynamics of the BRICS”, Economic Systems, Vol. 42 No. 2, pp. 295-306.
Barun
ık, J. and Krehl
ık, T. (2018), “Measuring the frequency dynamics of financial connectedness and
systemic risk”, Journal of Financial Econometrics, Vol. 16 No. 2, pp. 271-296.
Be˛ dowska-S
ojka, B., Demir, E. and Zaremba, A. (2022), “Hedging geopolitical risks with different asset
classes: a focus on the Russian invasion of Ukraine”, Finance Research Letters, Vol. 50, 103192.
Bogdan, D.I.M.A., Dima, Ş.M. and Roxana, I.O.A.N (2021), “Remarks on the behaviour of financial
market efficiency during the COVID-19 pandemic. The case of VIX”, Finance Research Letters,
Vol. 43, 101967, doi: 10.1016/[Link].2021.101967.
Boungou, W. and Yati
e, A. (2022), “The impact of the Ukraine–Russia war on world stock market
returns”, Economics Letters, Vol. 215, 110516, doi: 10.1016/[Link].2022.110516.
Bouras, C., Christou, C., Gupta, R. and Suleman, T. (2019), “Geopolitical risks, returns, and volatility in
emerging stock markets: evidence from a panel GARCH model”, Emerging Markets Finance
and Trade, Vol. 55 No. 8, pp. 1841-1856.
Bouri, E., Demirer, R., Gupta, R. and Marfatia, H.A. (2019), “Geopolitical risks and movements in Impact of
Islamic bond and equity markets: a note”, Defence and Peace Economics, Vol. 30 No. 3,
pp. 367-379. geopolitical
Caldara, D. and Iacoviello, M. (2018), “Measuring geopolitical risk (International Finance Discussion
risk
Papers No. 1222).”, Board of Governors of the Federal Reserve System.
Choi, S.-Y. (2021), “Analysis of stock market efficiency during crisis periods in the US stock market:
differences between the global financial crisis and COVID-19 pandemic”, Physica A: Statistical
Mechanics and Its Applications, Vol. 574, 125988, doi: 10.1016/[Link].2021.125988.
Choi, S.-Y. (2022), “Evidence from a multiple and partial wavelet analysis on the impact of geopolitical
concerns on stock markets in North-East Asian countries”, Finance Research Letters, Vol. 46,
102465.
Costola, M. and Lorusso, M. (2022), “Spillovers among energy commodities and the Russian stock
market”, Journal of Commodity Markets, Vol. 28, 100249.
Cunado, J., Gupta, R., Lau, C.K.M. and Sheng, X. (2020), “Time-varying impact of geopolitical risks on
oil prices”, Defence and Peace Economics, Vol. 31 No. 6, pp. 692-706.
Dahir, A.M., Mahat, F., Ab Razak, N.H. and Bany-Ariffin, A.N. (2018), “Revisiting the dynamic
relationship between exchange rates and stock prices in BRICS countries: a wavelet analysis”,
Borsa Istanbul Review, Vol. 18 No. 2, pp. 101-113.
Dewandaru, G., Masih, R. and Masih, M. (2017), “Regional spillovers across transitioning emerging
and Frontier equity markets: a multi-time scale wavelet analysis”, Economic Modelling, Vol. 65,
pp. 30-40.
Ding, Y., Liu, Y. and Failler, P. (2022), “The impact of uncertainties on crude oil prices: based on a
quantile-on-quantile method”, Energies, Vol. 15 No. 10, p. 3510.
Filippidis, M., Filis, G. and Kizys, R. (2020), “Oil price shocks and EMU sovereign yield spreads”,
Energy Economics, Vol. 86, 104656.
Gkillas, K., Gupta, R. and Pierdzioch, C. (2020), “Forecasting realized gold volatility: is there a role of
geopolitical risks?”, Finance Research Letters, Vol. 35, pp. 1-6.
Habib, Y., Xia, E., Fareed, Z. and Hashmi, S.H. (2021), “Time–frequency co-movement between
COVID-19, crude oil prices, and atmospheric CO2 emissions: fresh global insights from partial
and multiple coherence approach”, Environment, Development and Sustainability, Vol. 23 No. 6,
pp. 9397-9417.
Hasan, M., Hossain, M., Junttila, J., Uddin, G.S. and Rabbani, M.R. (2022), “Do commodity assets hedge
uncertainties? What we learn from the recent turbulence period?”, Annals of Operations
Research, pp. 1-34.
Hassan, M.K., Rabbani, M.R. and Ali, M.A. (2020), “Challenges for the Islamic Finance and banking in
post COVID era and the role of Fintech”, Journal of Economic Cooperation and Development,
Vol. 41 No. 3, pp. 93-116.
Heller, J. and Phillips, G. (2020), “Will the COVID pandemic spark a return in GFC-type financial
market litigation?”, Law and Financial Markets Review, Vol. 14 No. 3, pp. 151-155, doi: 10.1080/
17521440.2020.1788264.
Ho, C.S.F., Amran, N.H., Aziz, I.S.B.A. and Ahmad, W. (2021), “Performance of islamic and conventional
funds:evidence from Saudi Arabia and Malaysia”, International Journal of Economics and
Management, Vol. 15 No. 3, pp. 315-334, available at: [Link]
eid52-s2.0-85124964945&partnerID540&md55281ede39a6c4c6f1d1044341a6401445
Hoque, M.E. and Zaidi, M.A.S. (2020), “Global and country-specific geopolitical risk uncertainty and
stock return of fragile emerging economies”, Borsa Istanbul Review, Vol. 20 No. 3, pp. 197-213.
Jebabli, I., Kouaissah, N. and Arouri, M. (2022), “Volatility spillovers between stock and energy
markets during crises: a comparative assessment between the 2008 global financial crisis and
the covid-19 pandemic crisis”, Finance Research Letters, Vol. 46, 102363, doi: 10.1016/[Link].2021.
102363.
MF Jiang, Z. and Yoon, S.M. (2020), “Dynamic co-movement between oil and stock markets in oil-
importing and oil-exporting countries: two types of wavelet analysis”, Energy Economics,
Vol. 90, 104835.
Kamal, J.B., Wohar, M. and Kamal, K.B. (2022), “Do gold, oil, equities, and currencies hedge economic
policy uncertainty and geopolitical risks during covid crisis?”, Resources Policy, Vol. 78, 102920,
doi: 10.1016/[Link].2022.102920.
Kheni, S. and Kumar, S. (2021), “Cases, deaths, stringency indexes and Indian financial market —
empirical evidence during COVID-19 pandemic”, Annals of Financial Economics, Vol. 16 No. 2,
2150009, doi: 10.1142/S2010495221500093.
Li, F., Huang, Z., Zhong, J. and Albitar, K. (2020), “Do tense geopolitical factors drive crude oil prices?”,
Energies, Vol. 13 No. 6, p. 4277.
Li, S., Tu, D., Zeng, Y., Gong, C. and Yuan, D. (2022), “Does geopolitical risk matter in crude oil and
stock markets? Evidence from disaggregated data”, Energy Economics, Vol. 113, 106191, doi: 10.
1016/[Link].2022.106191.
Ma, R.R., Xiong, T. and Bao, Y. (2021), “The Russia-Saudi Arabia oil price war during the COVID-19
pandemic”, Energy Economics, Vol. 102, 105517, doi: 10.1016/[Link].2021.105517.
Mensi, W., Yousaf, I., Vo, X.V. and Kang, S.H. (2022), “Multifractality during upside/downside trends
in the MENA stock markets: the effects of the global financial crisis, oil crash and COVID-19
pandemic”, International Journal of Emerging Markets. doi: 10.1108/IJOEM-08-2021-1177.
Mitsas, S., Golitsis, P. and Khudoykulov, K. (2022), “Investigating the impact of geopolitical risks on
the commodity futures”, Cogent Economics and Finance, Vol. 10 No. 1, 2049477.
Naeem, M.A., Raza Rabbani, M., Karim, S. and Billah, S.M. (2023), “Religion vs ethics: hedge and safe
haven properties of Sukuk and green bonds for stock markets pre-and during COVID-19”,
International Journal of Islamic and Middle Eastern Finance and Management, Vol. 16 No. 2,
pp. 234-252.
Ndako, U.B., Salisu, A.A. and Ogunsiji, M.O. (2021), “Geopolitical risk and the return volatility of
Islamic stocks in Indonesia and Malaysia: a GARCH-MIDAS approach”, Asian Economics
Letters, Vol. 2 No. 3, 24843.
Ouyang, Z.-Y., Qin, Z., Cao, H., Xie, T.-Y., Dai, X.-Y. and Wang, Q.-W. (2021), “A spillover network
analysis of the global crude oil market: evidence from the post-financial crisis era”, Petroleum
Science, Vol. 18 No. 4, pp. 1256-1269.
Pence, K. (2022), “Liquidity in the mortgage market: how does the COVID-19 crisis compare with the
global financial crisis? Real Estate Economics”. doi: 10.1111/1540-6229.12389.
Rabbani, M.R., Kayani, U., Bawazir, H.S. and Hawaldar, I.T. (2022), “A commentary on emerging
markets banking sector spillovers: covid-19 vs GFC pattern analysis”, Heliyon, Vol. 8 No. 3,
e09074.
Reboredo, J.C., Rivera-Castro, M.A. and Ugolini, A. (2017), “Wavelet-based test of co-movement and
causality between oil and renewable energy stock prices”, Energy Economics, Vol. 61, pp. 241-252.
Rizvi, S.K.A. and Itani, R. (2022), “Oil market volatility: comparison of COVID-19 crisis with the SARS
outbreak of 2002 and the global financial crisis of 2008”, Economic Research-Ekonomska
Istrazivanja, Vol. 35 No. 1, pp. 1935-1949, doi: 10.1080/1331677X.2021.1927788.
Sahabuddin, M., Hassan, M.F., Tabash, M.I., Al-Omari, M.A., Alam, M.K. and Islam, F.T. (2022a),
“Co-movement and causality dynamics linkages between conventional and Islamic stock indexes
in Bangladesh: a wavelet analysis”, Cogent Business & Management, Vol. 9 No. 1, 2034233.
Sahabuddin, M., Islam, M., Tabash, M.I., Anagreh, S., Akter, R. and Rahman, M. (2022b),
“Co-movement, portfolio diversification, investors’ behavior and psychology: evidence from
developed and emerging countries’ stock markets”, Journal of Risk and Financial Management,
Vol. 15 No. 8, p. 319.
Salisu, A.A. and Shaik, M. (2022), “Islamic Stock indices and COVID-19 pandemic”, International
Review of Economics and Finance, Vol. 80, pp. 282-293.
Salisu, A.A. and Sikiru, A.A. (2020), “Pandemics and the asia-pacific islamic stocks”, Asian Economics Impact of
Letters, Vol. 1 No. 1, 17413.
geopolitical
Shaik, M. and Lakshmi, P. (2022), “Value-at-risk (VAR) estimation and backtesting during COVID-19:
empirical analysis based on BRICS and US stock markets”, Investment Management and
risk
Financial Innovations, Vol. 19 No. 1, pp. 51-63.
Shaik, M., Jamil, S.A., Hawaldar, I.T., Sahabuddin, M., Rabbani, M.R. and Atif, M. (2023), “Impact of
geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian–Ukraine
War”, Cogent Economics & Finance, Vol. 11 No. 1, 2190213.
Sharif, A., Aloui, C. and Yarovaya, L. (2020), “COVID-19 pandemic, oil prices, stock market,
geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the
wavelet-based approach”, International Review of Financial Analysis, Vol. 70, 101496.
Singh, G. and Shaik, M. (2021), “The short-term impact of COVID-19 on global stock market indices”,
Contemporary Economics, Vol. 15 No. 1, pp. 1-19.
So, M.K.P., Chu, A.M.Y. and Chan, T.W.C. (2021), “Impacts of the COVID-19 pandemic on financial
market connectedness”, Finance Research Letters, Vol. 38, 101864, doi: 10.1016/[Link].2020.101864.
Sohag, K., Vasilyeva, R., Urazbaeva, A. and Voytenkov, V. (2022a), “Stock market synchronization: the
role of geopolitical risk”, Journal of Risk and Financial Management, Vol. 15 No. 5, p. 204.
Sohag, K., Hammoudeh, S., Elsayed, A.H., Mariev, O. and Safonova, Y. (2022b), “Do geopolitical events
transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks”,
Energy Economics, Vol. 111, 106068, doi: 10.1016/[Link].2022.106068.
Song, Y., Chen, B., Wang, X.-Y. and Wang, P.-P. (2022), “Defending global oil price security: based on
the perspective of uncertainty risk”, Energy Strategy Reviews, Vol. 41, 100858.
Sraieb, M., Jreisat, A., Rabbani, M.R., Al-Mohamad, S., El-Kanj, N. and Khaki, A.R. (2022), “Oil prices
and the stock market: how COVID-19 impacts oil-importing countries?”, 2022 International
Conference on Decision Aid Sciences and Applications (DASA), pp. 1173-1177.
Sun, M. and Zhang, C. (2022), “Comprehensive analysis of global stock market reactions to the Russia-
Ukraine war”, Applied Economics Letters, pp. 1-8, doi: 10.1080/13504851.2022.2103077.
Thorbecke, W. (2022), “Understanding the transmission of COVID-19 news to French financial
markets in early 2020”, International Economics, Vol. 170, pp. 103-114, doi: 10.1016/[Link].2022.
02.001.
Tien, H.T. and Hung, N.T. (2022), “Volatility spillover effects between oil and GCC stock markets: a
wavelet-based asymmetric dynamic conditional correlation approach”, International Journal of
Islamic and Middle Eastern Finance and Management, Vol. 15 No. 6, pp. 1127-1149.
Tiwari, A.K., Aye, G.C., Gupta, R. and Gkillas, K. (2020), “Gold-oil dependence dynamics and the role
of geopolitical risks: evidence from a Markov-switching time-varying copula model”, Energy
Economics, Vol. 88, 104748.
Vukovic, D.B., Lapshina, K.A. and Maiti, M. (2021), “Wavelet coherence analysis of returns, volatility
and interdependence of the US and the EU money markets: pre and post crisis”, The North
American Journal of Economics and Finance, Vol. 58, 101457.
Wang, Y., Wei, M., Bashir, U. and Zhou, C. (2022), “Geopolitical risk, economic policy uncertainty and
global oil price volatility —an empirical study based on quantile causality nonparametric test
and wavelet coherence”, Energy Strategy Reviews, Vol. 41, 100851.
Yang, Z., Ce, L. and Lian, L. (2017), “Electricity price forecasting by a hybrid model, combining
wavelet transform, ARMA and kernel-based extreme learning machine methods”, Applied
Energy, Vol. 190, pp. 291-305.
Yousaf, I., Beljid, M., Chaibi, A. and Ajlouni, A.A. (2022), “Do volatility spillover and hedging among
GCC stock markets and global factors vary from normal to turbulent periods? Evidence from
the global financial crisis and Covid-19 pandemic crisis”, Pacific Basin Finance Journal, Vol. 73,
101764, doi: 10.1016/[Link].2022.101764.
MF Zhang, Y. and Hamori, S. (2022), “A connectedness analysis among BRICS’s geopolitical risks and the
US macroeconomy”, Economic Analysis and Policy, Vol. 76, pp. 182-203, doi: 10.1016/[Link].2022.
08.004.

Further reading
Bouri, E., Demirer, R., Gupta, R. and Sun, X. (2020), “The predictability of stock market volatility in
emerging economies: relative roles of local, regional, and global business cycles”, Journal of
Forecasting, Vol. 39, pp. 957-965.
Caldara, D. and Iacoviello, M. (2022), “Measuring geopolitical risk”, American Economic Review,
Vol. 112 No. 4, pp. 1194-1225, April.
Guyot, A. (2011), “Efficiency and dynamics of Islamic investment: evidence of geopolitical effects on
Dow Jones Islamic market indexes”, Emerging Markets Finance and Trade, Vol. 47 No. 6,
pp. 24-45.
Kuns, B., Visser, O. and W€astfelt, A. (2016), “The stock market and the steppe: the challenges faced by
stock-market financed, Nordic farming ventures in Russia and Ukraine”, Journal of Rural
Studies, Vol. 45, pp. 199-217, doi: 10.1016/[Link].2016.03.009.
Love, I. and Rachinsky, A. (2015), “Corporate governance and bank performance in emerging markets:
evidence from Russia and Ukraine”, Emerging Markets Finance and Trade, Vol. 51,
pp. S101-S121, doi: 10.1080/1540496X.2014.998945.

Corresponding author
Mustafa Raza Rabbani can be contacted at: raza005@[Link], [Link]@[Link]

For instructions on how to order reprints of this article, please visit our website:
[Link]/licensing/[Link]
Or contact us for further details: permissions@[Link]