In this article we examined the predictability of geopolitical risk index (GPR) introduced by Caldara and Iacoviello (2018) on both the returns and volatility across different financial markets and asset classes. The main objective of this study is to produce a systematic literature review and compile studies that examined the effectiveness of GPR index in predicting stocks, commodities, and currency market. We employed the PRISMA (Preferred Reporting Items for Systematic Reviews and Meta-Analyses) methodology for this systematic literature review. The study was conducted in the month of September 2022. A total of 25 out of 37 research articles were analysed in detail to establish a better understanding on the predictability of GPR index on financial markets and its instruments. The outcomes of this study are expected to shed lights on how investors and other market players including policymakers utilize the GPR index in order add value to their investments and at the same time successfully mitigate risks.
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