Investor behavior in times of conflict: A natural experiment on the interplay of geopolitical risk and defense stocks
研究了航空航天与国防公司之间的关联性及其与地缘政治风险的关系，发现地缘政治风险增强公司间关联性，且不同不确定性指标对日内波动率预测有不同影响，对投资者和风险管理有用。
We examine the connectedness of aerospace and defense companies and their relation to measures of geopolitical risk. With hierarchical clustering, we find stable and localized company clusters. Increasing geopolitical risk leaves these clusters intact but strengthens inter-cluster connectedness. Focusing on intraday data, we find that for most companies, instantaneous news arrival in form of jumps impacts realized volatility significantly. Further, we show that different measures of geopolitical uncertainty (GPR and COVOL) have differing impact on short-term predictions of intraday volatility, underlying the importance to distinguish between different sources of uncertainty. We provide evidence that investors react instantaneously to increases in geopolitical risk with some persistence of these shocks. The COVOL index holds significant informational content for short- and medium-term predictions of realized volatility of global aerospace and defense companies.