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Geopolitická rizika a ceny komodit: Evidence pro kanadské firmy obchodující s přírodními zdroji

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Názov: Geopolitická rizika a ceny komodit: Evidence pro kanadské firmy obchodující s přírodními zdroji
Autori: Zhuk, Heorhiy
Prispievatelia: Horváth, Roman, Kočenda, Evžen
Informácie o vydavateľovi: 2024.
Rok vydania: 2024
Predmety: ceny komodit, resource sectors, zdrojové sektory, volatilita, geopolitické riziko, Canadian markets, commodity prices, geopolitical risk, GARCH, Kanadské trhy, stock returns, výnosy akcií, volatility
Popis: This thesis examines the impact of geopolitical risks and commodity prices on the stock returns and volatility of Canadian resource companies from 2004 to 2023, with a focus on the oil and energy sector, gold sector, and other minerals mining sector. Employing a comprehensive analysis of non-segmented and segmented data which has three distinct periods-2004-2009, 2010-2018, and 2019-2023-this study addresses the nuanced effects of geopolitical risk (GPR) in times marked by both economic stability and major global disruptions. The findings reveal that GPR significantly influences stock return volatility and mean equation, and also has a sector specific difference with oil and energy sector being the most effected one. The local Canadian GPR index was found to exert a more substantial impact on both the mean and volatility of stock returns compared to the global GPR index, emphasizing the importance of local geopolitical events in the Canadian market context. This thesis contributes to the empirical literature by highlighting the sector-specific responses to GPR and commodity price fluctuations, offering valuable insights for policymakers, regulators, and investors. It underscores the critical need for incorporating commodities in investment portfolios and adapting investment strategies to account...
Druh dokumentu: Master thesis
Jazyk: English
Prístupová URL adresa: http://www.nusl.cz/ntk/nusl-621779
Prístupové číslo: edsair.od......2186..333988ea86d59c0b8de3e9d6e9b89c16
Databáza: OpenAIRE
Popis
Abstrakt:This thesis examines the impact of geopolitical risks and commodity prices on the stock returns and volatility of Canadian resource companies from 2004 to 2023, with a focus on the oil and energy sector, gold sector, and other minerals mining sector. Employing a comprehensive analysis of non-segmented and segmented data which has three distinct periods-2004-2009, 2010-2018, and 2019-2023-this study addresses the nuanced effects of geopolitical risk (GPR) in times marked by both economic stability and major global disruptions. The findings reveal that GPR significantly influences stock return volatility and mean equation, and also has a sector specific difference with oil and energy sector being the most effected one. The local Canadian GPR index was found to exert a more substantial impact on both the mean and volatility of stock returns compared to the global GPR index, emphasizing the importance of local geopolitical events in the Canadian market context. This thesis contributes to the empirical literature by highlighting the sector-specific responses to GPR and commodity price fluctuations, offering valuable insights for policymakers, regulators, and investors. It underscores the critical need for incorporating commodities in investment portfolios and adapting investment strategies to account...