THE IMPACT OF GEOPOLITICAL RISK ON THE VOLATILITY OF EMERGING MARKETS

This dataset accompanies the manuscript “THE IMPACT OF GEOPOLITICAL RISK ON THE VOLATILITY OF EMERGING MARKETS” (submitted to the Journal of Sustainable Finance & Investment). It contains the consolidated panel dataset used in the empirical analysis, combining stock market index price data (obtained from investing.com) for a panel of developed and emerging market indices with the Geopolitical Risk (GPR) index family (Caldara and Iacoviello 2022).