The political risk factor in emerging, frontier, and developed stock markets
Vitaly Orlov and
Vanja Piljak ()
Finance Research Letters, 2015, vol. 15, issue C, 239-245
This paper investigates how determinants of the political risk factor affect the stock returns of developed, emerging and frontier markets. We find that composite political risk is priced in all three stock market categories, but the effect of individual components varies across different markets.
Keywords: Political risk; Stock returns; Frontier and emerging markets (search for similar items in EconPapers)
JEL-codes: F30 F50 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:239-245
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