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Corporate Governance and Downside Systematic Risk with a Moderating Role of Socio-Political in Pakistan

Shahzad Hussain () and Syed Muhammad Amir Shah
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Shahzad Hussain: Shaheed Zulfiqar Ali Bhutto Institute of Science & Technology, Islamabad
Syed Muhammad Amir Shah: Allama Iqbal Open University, Islamabad

Business & Economic Review, 2017, vol. 9, issue 4, 233-258

Abstract: This research investigates the effect of corporate governance on downside systematic risk with moderating effect of socio-political factor. Corporate governance covers key areas such as board structure, ownership structure and audit quality. The research used two proxies, terrorism and assassination, to construct socio-political index, whereas downside- CAPM of Estrada (2002) is used as a measure of systematic risk. Using a sample of 201 non-financial firms from 2003 to 2014, this study has used the Arellano-Bond Dynamic Data-Estimation regression approach to uncover the relationship. Results revealed that the corporate governance mechanism reduces the firm’s downside systematic risk and socio-political factor moderates the relationship between corporate governance and downside systematic risk.

Keywords: D-CAPM; Corporate Governance; Socio-Political factors (search for similar items in EconPapers)
JEL-codes: G10 G21 G32 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:bec:imsber:v:9:y:2017:i:4:p:233-258