Is all politics local? Regional political risk in Russia and the panel of stock returns

Savva Shanaev () and Binam Ghimire

Journal of Behavioral and Experimental Finance, 2019, vol. 21, issue C, 70-82

Abstract: This study investigates the presence of political risk premia among 298 listed companies from 59 Russian regions over a five-year period (10/2012–09/2017). Using a regional political stability score not available in the literature, this paper applies panel data approach to evidence the pricing of regional political risk in forms of long-term political instability premium (up to 2.20% monthly) and short-term impact-shock premium. The findings indicate that regional political risk is more impactful than countrywide or international risk and that regional political processes are crucial for the understanding of the synchronisation of stock returns with broader markets.

Keywords: Russian stock market; Political risk; Emerging markets; Regional politics; Risk pricing; Panel data analysis (search for similar items in EconPapers)
JEL-codes: C33 C58 G12 R5 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:21:y:2019:i:c:p:70-82

DOI: 10.1016/j.jbef.2018.11.002

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