Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries

This study conducted partial and multiple wavelet coherence analysis to investigate the impact of geopolitical risks(GPR) on the volatility of stock indices in North-East Asian countries, namely South Korea, Japan, and China. We employed the GPR and Korea GPR indices to assess these risks. The empirical findings reveal (i) a strong interdependence between the GPR and the volatility of the three stock markets in the short term; (ii) the stock markets of South Korea and Japan have more co-movement with the GPR, rather than the KGPR; and (iii) the GPR index and volatility have a time dependent relationship. •We investigate the impact of geopolitical risks(GPR) on the volatility of stock indices in North-East Asian countries, namely South Korea, Japan, and China.•We employ the GPR and Korea GPR indices to assess geopolitical risks.•We use partial and multiple wavelet coherence techniques to investigate the relationship of stock markets and GPR.•We find that a strong interdependence between the GPR and the volatility of the three stock markets in the short term.•We further find that the stock markets of South Korea and Japan have more co-movement with the GPR, rather than the Korea GPR.