Non-parametric quantile dependencies between volatility discontinuities and political risk

Konstantinos Gkillas, Gideon Boako, Dimitrios Vortelinos () and Lavrentios Vasiliadis

Finance Research Letters, 2020, vol. 32, issue C

Abstract: In this paper, we investigate the non-parametric relation between political risk and Mexican financial markets. We focus on stock, foreign exchange, financial institutions bond, corporate bond and sovereign bond markets. We apply a quantile correlation approach between five categories of the most used political risk indicators and volatility discontinuities (jumps) in a pairwise comparison. Our findings suggest that dependencies of political risk factors with stock and foreign exchange markets appear to be generally positive, while those with financial institutions and corporate bonds are adverse.

Keywords: Mexico; Political risk; Quantile correlation; Volatility jumps (search for similar items in EconPapers)
JEL-codes: C22 C32 G15 G18 G41 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829

DOI: 10.1016/j.frl.2018.12.022

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