Bouras, CChristou, CGupta, RSuleman, T2019-09-032018-10-0420191540-496Xhttps://hdl.handle.net/10182/10896In this article, we analyze the role of country-specific and global geopolitical risks (GPRs) on the returns and volatility of 18 emerging market economies over the monthly period of 1998:11 to 2017:06. For our purpose, we use a panel Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach, which offers substantial efficiency gains in estimating the conditional variance and covariance processes by accounting for interdependencies and heterogeneity across economies, unlikein a time series-based GARCH model. We find that, while country-specific GPRs do not have an impact on stock returns, and the positive effect on equity market volatility is statistically weak. But when we consider a broad measure of global GPR, though there is still no significant effect on returns, the impact on volatility is both economically and statistically stronger than that obtained under the country-specific GPRs, thus highlighting the dominance of global rather than domestic shocks.pp.1841-1856en© Taylor & Francis Group, LLCemerging economiesgeopolitical riskspanel GARCHreturns and volatilitystock marketsJournal Article10.1080/1540496X.2018.15079061558-0938