The impact of political risk on the volatility of stock returns: the case of Canada

Marie-Claude Beaulieu, Jean-Claude Cosset and Naceur Essaddam
Additional contact information
Marie-Claude Beaulieu: Faculté des sciences de l'administration, Université Laval, Québec, Canada
Jean-Claude Cosset: Service de l'enseignement des affaires internationales, HEC Montréal, Canada
Naceur Essaddam: Department of Business Administration, Royal Military College of Canada, Canada

Journal of International Business Studies, 2005, vol. 36, issue 6, 718 pages

Abstract: This paper examines the impact of political risk in Canada on the volatility of stock returns. Our results suggest that political news associated with the possible separation of Quebec from Canada plays an important role in the volatility of stock returns. However, our evidence indicates that investors do not require a risk premium, supporting the idea that political risk is diversifiable. We also show that stock return volatility varies with the degree of a firm's exposure to political risk, namely, the structure of assets and the extent of foreign involvement, which indicates that firms most exposed to political risk bear the burden of diversification. Journal of International Business Studies (2005) 36, 701–718. doi:10.1057/palgrave.jibs.8400160

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
http://www.palgrave-journals.com/jibs/journal/v36/n6/pdf/8400160a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/jibs/journal/v36/n6/full/8400160a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jintbs:v:36:y:2005:i:6:p:701-718

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/41267/PS2

Access Statistics for this article

Journal of International Business Studies is currently edited by John Cantwell

More articles in Journal of International Business Studies from Palgrave Macmillan, Academy of International Business
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().