US sectoral stock market volatility and geopolitical risk categories

Ioannis Chatziantoniou; David Gabauer; Alexis Stenfors

doi:10.1016/j.frl.2025.106916

US sectoral stock market volatility and geopolitical risk categories

Ioannis Chatziantoniou, David Gabauer, Alexis Stenfors^*

^*Corresponding author for this work

School of Accounting, Economics and Finance

Research output: Contribution to journal › Article › peer-review

14 Downloads (Pure)

Abstract

This study examines the impact of geopolitical risk categories on US sectoral stock market volatility using an autoregressive model with exogenous inputs from May 1995 to November 2024. We find that the impact of geopolitical risk categories is significant and highly sector-specific. Sectors react more strongly to terror threats than to terror acts. Further, escalations of war and military build-ups exhibit a stronger impact than war threats and beginnings of war. Finally, although global peace and nuclear threats have remained low in recent decades, they contribute to volatility in certain industries. The results are important for policymakers and investors alike.

Original language	English
Article number	106916
Pages (from-to)	1-6
Number of pages	6
Journal	Finance Research Letters
Volume	76
Early online date	14 Feb 2025
DOIs	https://doi.org/10.1016/j.frl.2025.106916
Publication status	Published - 30 Apr 2025

Keywords

Geopolitical risk components
Industry sectors
Stock price volatility

Access to Document

10.1016/j.frl.2025.106916Licence: CC BY

1-s2.0-S1544612325001801-mainFinal published version, 1.58 MBLicence: CC BY

Cite this

@article{bcb1139433ea4271a3517bc1f71d71f6,

title = "US sectoral stock market volatility and geopolitical risk categories",

abstract = "This study examines the impact of geopolitical risk categories on US sectoral stock market volatility using an autoregressive model with exogenous inputs from May 1995 to November 2024. We find that the impact of geopolitical risk categories is significant and highly sector-specific. Sectors react more strongly to terror threats than to terror acts. Further, escalations of war and military build-ups exhibit a stronger impact than war threats and beginnings of war. Finally, although global peace and nuclear threats have remained low in recent decades, they contribute to volatility in certain industries. The results are important for policymakers and investors alike.",

keywords = "Geopolitical risk components, Industry sectors, Stock price volatility",

author = "Ioannis Chatziantoniou and David Gabauer and Alexis Stenfors",

note = "Publisher Copyright: {\textcopyright} 2025",

year = "2025",

month = apr,

day = "30",

doi = "10.1016/j.frl.2025.106916",

language = "English",

volume = "76",

pages = "1--6",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - US sectoral stock market volatility and geopolitical risk categories

AU - Chatziantoniou, Ioannis

AU - Gabauer, David

AU - Stenfors, Alexis

PY - 2025/4/30

Y1 - 2025/4/30

N2 - This study examines the impact of geopolitical risk categories on US sectoral stock market volatility using an autoregressive model with exogenous inputs from May 1995 to November 2024. We find that the impact of geopolitical risk categories is significant and highly sector-specific. Sectors react more strongly to terror threats than to terror acts. Further, escalations of war and military build-ups exhibit a stronger impact than war threats and beginnings of war. Finally, although global peace and nuclear threats have remained low in recent decades, they contribute to volatility in certain industries. The results are important for policymakers and investors alike.

AB - This study examines the impact of geopolitical risk categories on US sectoral stock market volatility using an autoregressive model with exogenous inputs from May 1995 to November 2024. We find that the impact of geopolitical risk categories is significant and highly sector-specific. Sectors react more strongly to terror threats than to terror acts. Further, escalations of war and military build-ups exhibit a stronger impact than war threats and beginnings of war. Finally, although global peace and nuclear threats have remained low in recent decades, they contribute to volatility in certain industries. The results are important for policymakers and investors alike.

KW - Geopolitical risk components

KW - Industry sectors

KW - Stock price volatility

UR - http://www.scopus.com/inward/record.url?scp=85217747681&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2025.106916

DO - 10.1016/j.frl.2025.106916

M3 - Article

AN - SCOPUS:85217747681

SN - 1544-6123

VL - 76

SP - 1

EP - 6

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 106916

ER -

US sectoral stock market volatility and geopolitical risk categories

Abstract

Keywords

Access to Document

Fingerprint

Cite this