We explore the relationship between two novel Twitter-based measures of economic and market uncertainty and the performance of four major cryptocurrencies. Using a battery of methods - quantile regressions, Granger-causality in distributions using copula functions, and directional predictability...

We examine the hedging properties of different asset classes as impacted by the Russian invasion of Ukraine in 2022. We employ wavelet coherence analysis to study the impact of geopolitical risk on various types of securities. We found that different asset classes exhibited unequal risk...

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...

We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta outperform those with high geopolitical beta. Our findings suggest...