The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets
Dimitrios I. Vortelinos and
Finance Research Letters, 2016, vol. 17, issue C, 222-226
The paper examines the impact of political risk on stock and foreign exchange markets in a comprehensive sample of sixty-six countries and twenty political risk indicators mostly covering the financial crisis and recovery periods from May 2001 to April 2014. The impact is assessed on return, volatility and jumps series of monthly frequency. Evidence reveals that Europe is mostly at higher risks generated from economic crisis; whereas, political risks explain the high volatility and discontinuity in international stock and foreign exchange markets in other regions.
Keywords: Political risk; Volatility; Jumps (search for similar items in EconPapers)
JEL-codes: G15 G18 F38 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226
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