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Risk without borders: atransfer entropy analysis of geopolitical spillovers in low-and lower-middle-income markets
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Orientador(es)
Resumo(s)
How geopolitical risk affects stock markets in low and lower-middle-income countries remains
an area often overlooked. This study analyzes daily data from 2014 to 2025 for 16 stock
markets and two geopolitical risk subindices, acts and threats. The transfer entropy is applied
in a dynamic framework to measure asymmetric and time-varying information flows. The
findings reveal a heterogeneous influence of acts and threats, varying by country-income level,
geographic region, and over time, and suggest an increased sensitivity of financial markets
after 2020, particularly in response to acts rather than threats. This highlights distinct
geopolitical risk transmission, requiring tailored investment strategies and policy responses
Descrição
Palavras-chave
geopolitical risk low-income countries lower-middle-income countries information spillovers transfer entropy
Contexto Educativo
Citação
Almeida, D.; Ferreira, P.J. and Aslam, F.(2026) Risk without borders: a transfer entropy analysis of geopolitical spillovers in low- and lower-middle-income markets, Economics and Business Letters, 15(1), 56-69. DOI: 10.17811/ebl.15.1.2026.56-69