Geopolitical Risk and Stock Market Returns in North-East Asian Countries

Abstract

This study examines the interdependence between geopolitical risk and stock returns in three main countries of North-East Asia. We find that geopolitical risk reduces stock returns in these countries. Although the negative effect is more pronounced in the earlier periods in both China and South-Korean (0 to 16 months) and in the recent periods in Japan (16 to 128 months).