The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada

Marie-claude Beaulieu, Jean-Claude Cosset and Mohamed Essaddam ()

Cahiers de recherche from CIRPEE

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 a possible separation of Quebec from Canada plays an important role in the volatility of stock returns. We also show that the volatility of stock returns varies with the degree of a firm’s exposure to political risk, namely, the structure of assets and the extent of foreign involvement.

Date: 2002
New Economics Papers: this item is included in nep-fin and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:lvl:lacicr:0208

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