Scholarlink

<p>Geopolitical risk (GPR) has emerged as a critical source of systematic risk in global financial markets, yet its heterogeneous impact across industries in emerging economies remains underexplored. This study investigates how global and country-specific GPR influence industry-level volatility in South Africa using the GARCH-MIDAS framework, which decomposes volatility into short- and long-run components. Results reveal clear asymmetries across industries. In line with theory, financials and industrials exhibit elevated volatility in response to both global and domestic GPR shocks, reflecting their exposure to capital flows, global supply chains and macroeconomic uncertainty. Conversely, defensive industries such as consumer staples remain relatively resilient. Out-of-sample forecasts confirm the predictive relevance of GPR, particularly for the healthcare industry, where GPR-augmented models consistently outperform specifications based on realised volatility. Overall, the findings imply that policymakers should prioritise stabilisation in highly exposed industries, while investors should adopt allocation strategies tailored to industry-specific sensitivities that balance risk reduction with opportunities for strategic positioning during periods of heightened uncertainty.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Geopolitical risk and industry volatility in South Africa: evidence from a GARCH-MIDAS forecasting approach

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年6月1日

查看全文
  • Sandisele Jaffar,
  • Damien Kunjal,
  • Sanele Gumede,
  • Paul-Francois Muzindutsi

摘要

Geopolitical risk (GPR) has emerged as a critical source of systematic risk in global financial markets, yet its heterogeneous impact across industries in emerging economies remains underexplored. This study investigates how global and country-specific GPR influence industry-level volatility in South Africa using the GARCH-MIDAS framework, which decomposes volatility into short- and long-run components. Results reveal clear asymmetries across industries. In line with theory, financials and industrials exhibit elevated volatility in response to both global and domestic GPR shocks, reflecting their exposure to capital flows, global supply chains and macroeconomic uncertainty. Conversely, defensive industries such as consumer staples remain relatively resilient. Out-of-sample forecasts confirm the predictive relevance of GPR, particularly for the healthcare industry, where GPR-augmented models consistently outperform specifications based on realised volatility. Overall, the findings imply that policymakers should prioritise stabilisation in highly exposed industries, while investors should adopt allocation strategies tailored to industry-specific sensitivities that balance risk reduction with opportunities for strategic positioning during periods of heightened uncertainty.