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The impact of political risk on return, volatility and discontinuity: evidence from the international stock and foreign exchange markets

Vortelinos, Dimitrios and Saha, Shrabani (2016) The impact of political risk on return, volatility and discontinuity: evidence from the international stock and foreign exchange markets. Finance Research Letters, 17 . pp. 222-226. ISSN 1544-6123

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Item Type:Article
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Abstract

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, NotOAChecked
Subjects:L Social studies > L100 Economics
Divisions:Lincoln International Business School
ID Code:22648
Deposited On:14 Mar 2016 09:34

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