Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian – Ukraine War

Figures & data

Figure 1. Geopolitical risk index, crude oil, gold, and stock index price performance and return movement.

Table 1. Summary of descriptive statistics

	GPR	WTI	GOLD	DJGI
Mean	0.35	0.34	0.61	0.31
Median	−0.20	1.48	0.22	0.79
Maximum	62.25	54.56	11.19	11.66
Minimum	−60.01	−56.81	−11.34	−22.26
Std. Dev.	19.33	11.61	3.63	4.82
Skewness	0.19	−0.98	0.098	−0.96s
Kurtosis	4.14	10.52	3.22	5.74
Jarque-Bera	11.08	463.12	0.66	86.13
ADF	−18.08***	−9.78***	−10.93***	−11.74***

Note: ADF stands for Augmented Dickey-Fuller unit-root test and *** indicates 1%, ** indicates 5% and * indicates 10% significance level. GPR, WTI, DJGI stands for Geo-Political Risk index, West Texas Intermediate crude oil price and Dow Jones Global Index respectively.

Table 2. Correlation Matrix

	GPR	WTI	GOLD	DJGI
GPR	—	0.05	0.09	0.04
WTI	0.05	—	0.05	0.33
GOLD	0.09	0.05	—	−0.02
DJGI	0.04	0.33	−0.02	—

Note: GPR, WTI, DJGI stands for Geo-Political Risk index, West Texas Intermediate crude oil price and Dow Jones Global Index respectively.

Figure 2. Wavelet power spectrum. GPR, WTI, DJGI stands for Geo-Political Risk index, West Texas Intermediate crude oil price and Dow Jones Global Index respectively.

Figure 3. Wavelet coherence plots. Here, GPR, WTI and DJGI stands for Geo-Political Risk index, West Texas Intermediate crude oil price and Dow Jones Global Index respectively.