From uncertainty to adjustment: the influence of the 2023 Israel–Hamas War on Latin American Stock Market Volatility

Oscar Melo-Vega-Angeles; Bryan Chuquillanqui-Lichardo

doi:10.1016/j.frl.2025.108131

From uncertainty to adjustment: the influence of the 2023 Israel–Hamas War on Latin American Stock Market Volatility

Título traducido de la contribución: De la incertidumbre al ajuste: la influencia de la Guerra Israel–Hamás de 2023 en la volatilidad del mercado bursátil latinoamericano

Producción científica: Contribución a una revista › Artículo (Contribución a Revista) › revisión exhaustiva

Resumen

This article examines how the 2023 Israel–Hamas War, in the context of geopolitical risk, influenced the volatility of Latin American stock markets via transmission channels such as exchange rate fluctuations and oil price dynamics. Our main findings, derived using a Bayesian panel vector autoregression, suggest that, prior to the outbreak, an increase in the exchange rate and oil prices led to higher stock market volatility; however, after the outbreak, the exchange rate depreciation played a role in reducing volatility. This suggests that Latin American markets internalised the geopolitical shock as part of a broader adjustment process instead of a persistent external risk.

Título traducido de la contribución	De la incertidumbre al ajuste: la influencia de la Guerra Israel–Hamás de 2023 en la volatilidad del mercado bursátil latinoamericano
Idioma original	Inglés estadounidense
Páginas (desde-hasta)	108131
Publicación	Finance Research Letters
Volumen	85
N.º	D
DOI	https://doi.org/10.1016/j.frl.2025.108131
Estado	Publicada - 8 ago. 2025

Palabras Clave

Riesgo geopolítico
Guerra Israel–Hamás
América Latina
Mercados financieros
VAR bayesiano de panel

ODS de las Naciones Unidas

Este resultado contribuye a los siguientes Objetivos de Desarrollo Sostenible

Acceder al documento

10.1016/j.frl.2025.108131Licencia: CC BY

Otros archivos y enlaces

https://www.sciencedirect.com/science/article/pii/S1544612325013868

Citar esto

@article{ae05105681fd4baca1c1e13999270e03,

title = "From uncertainty to adjustment: the influence of the 2023 Israel–Hamas War on Latin American Stock Market Volatility",

abstract = "This article examines how the 2023 Israel–Hamas War, in the context of geopolitical risk, influenced the volatility of Latin American stock markets via transmission channels such as exchange rate fluctuations and oil price dynamics. Our main findings, derived using a Bayesian panel vector autoregression, suggest that, prior to the outbreak, an increase in the exchange rate and oil prices led to higher stock market volatility; however, after the outbreak, the exchange rate depreciation played a role in reducing volatility. This suggests that Latin American markets internalised the geopolitical shock as part of a broader adjustment process instead of a persistent external risk. ",

keywords = "Riesgo geopol{\'i}tico, Guerra Israel–Ham{\'a}s, Am{\'e}rica Latina, Mercados financieros, VAR bayesiano de panel, Geopolitical risk, Israel–Hamas War, Latin America, Financial markets, Bayesian panel VAR",

author = "Oscar Melo-Vega-Angeles and Bryan Chuquillanqui-Lichardo",

year = "2025",

month = aug,

day = "8",

doi = "10.1016/j.frl.2025.108131",

language = "American English",

volume = "85",

pages = "108131",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier Ltd",

number = "D",

}

TY - JOUR

T1 - From uncertainty to adjustment: the influence of the 2023 Israel–Hamas War on Latin American Stock Market Volatility

AU - Melo-Vega-Angeles, Oscar

AU - Chuquillanqui-Lichardo, Bryan

PY - 2025/8/8

Y1 - 2025/8/8

N2 - This article examines how the 2023 Israel–Hamas War, in the context of geopolitical risk, influenced the volatility of Latin American stock markets via transmission channels such as exchange rate fluctuations and oil price dynamics. Our main findings, derived using a Bayesian panel vector autoregression, suggest that, prior to the outbreak, an increase in the exchange rate and oil prices led to higher stock market volatility; however, after the outbreak, the exchange rate depreciation played a role in reducing volatility. This suggests that Latin American markets internalised the geopolitical shock as part of a broader adjustment process instead of a persistent external risk.

AB - This article examines how the 2023 Israel–Hamas War, in the context of geopolitical risk, influenced the volatility of Latin American stock markets via transmission channels such as exchange rate fluctuations and oil price dynamics. Our main findings, derived using a Bayesian panel vector autoregression, suggest that, prior to the outbreak, an increase in the exchange rate and oil prices led to higher stock market volatility; however, after the outbreak, the exchange rate depreciation played a role in reducing volatility. This suggests that Latin American markets internalised the geopolitical shock as part of a broader adjustment process instead of a persistent external risk.

KW - Riesgo geopolítico

KW - Guerra Israel–Hamás

KW - América Latina

KW - Mercados financieros

KW - VAR bayesiano de panel

KW - Geopolitical risk

KW - Israel–Hamas War

KW - Latin America

KW - Financial markets

KW - Bayesian panel VAR

UR - https://www.sciencedirect.com/science/article/pii/S1544612325013868

U2 - 10.1016/j.frl.2025.108131

DO - 10.1016/j.frl.2025.108131

M3 - Article (Contribution to Journal)

SN - 1544-6123

VL - 85

SP - 108131

JO - Finance Research Letters

JF - Finance Research Letters

IS - D

ER -

From uncertainty to adjustment: the influence of the 2023 Israel–Hamas War on Latin American Stock Market Volatility

Resumen

Palabras Clave

ODS de las Naciones Unidas

Acceder al documento

Otros archivos y enlaces

Huella

Citar esto