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Is all politics local? Regional political risk in Russia and the panel of stock returns

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  • Shanaev, Savva
  • Ghimire, Binam

Abstract

This study investigates the presence of political risk premia among 298 listed companies from 59 Russian regions over a five-year period (10/2012–09/2017). Using a regional political stability score not available in the literature, this paper applies panel data approach to evidence the pricing of regional political risk in forms of long-term political instability premium (up to 2.20% monthly) and short-term impact-shock premium. The findings indicate that regional political risk is more impactful than countrywide or international risk and that regional political processes are crucial for the understanding of the synchronisation of stock returns with broader markets.

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  • Shanaev, Savva & Ghimire, Binam, 2019. "Is all politics local? Regional political risk in Russia and the panel of stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 70-82.
    • Handle: RePEc:eee:beexfi:v:21:y:2019:i:c:p:70-82
    DOI: 10.1016/j.jbef.2018.11.002
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    More about this item

    Keywords

    Russian stock market; Political risk; Emerging markets; Regional politics; Risk pricing; Panel data analysis;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R5 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis

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