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This study investigates how geopolitical risk moderates the relationship between investor attention and stock market volatility in both emerging and developed markets. To achieve this objective, the GARCH-MIDAS model is employed to decompose daily market returns into short- and long-term volatility components. The Google Search Volume Index is used as a proxy for investor attention along with country-specific geopolitical risk indices which are assessed for the period spanning from 2014 to 2023. The findings reveal that the effect of investor attention on stock market volatility is not uniform but instead varies across and within developed and emerging markets. Furthermore, GPR is found to be a crucial factor that can either weaken, magnify, or change the nature of the relationship between investor attention and volatility depending on the surveyed economy. The findings highlight the critical role of geopolitical risk in shaping market dynamics, suggesting that both investors and policymakers should incorporate geopolitical factors in risk management and portfolio strategies. The study contributes to existing literature by providing a novel perspective on how geopolitical risk moderates the relationship between investor attention and market volatility, utilizing a comparative analysis across different economic regions, which has not been done before.

This study empirically investigates hierarchical endogeneity and shock transmission among three major international stock markets the S&P 500, FTSE 100, and Nikkei 225 from 2010 to 2023. Utilizing a Vector Autoregression framework and Granger causality test, the research examines the direction and strength of cross-market dependencies. The findings reveal a clear, asymmetric structure where the US market acts as the primary exogenous driver, with unidirectional causality flowing from the S&P 500 to both the FTSE 100 and Nikkei 225. A secondary channel of influence from the UK to Japan was also identified. Forecast error variance decomposition confirms the US market's dominance, explaining over 25% of the movements in the UK's financial market and 18.7% of Japan's forecast error variance, while remaining largely insulated from feedback. The findings of this study suggest that international markets are characterized by hierarchical endogeneity, challenging notions of symmetric interdependence and highlighting significant implications for financial stability frameworks making a noteworthy contribution.