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The political risk factor in emerging, frontier, and developed stock markets

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  • Dimic, Nebojsa
  • Orlov, Vitaly
  • Piljak, Vanja

Abstract

This paper investigates how determinants of the political risk factor affect the stock returns of developed, emerging and frontier markets. We find that composite political risk is priced in all three stock market categories, but the effect of individual components varies across different markets.

Suggested Citation

  • Dimic, Nebojsa & Orlov, Vitaly & Piljak, Vanja, 2015. "The political risk factor in emerging, frontier, and developed stock markets," Finance Research Letters, Elsevier, vol. 15(C), pages 239-245.
    • Handle: RePEc:eee:finlet:v:15:y:2015:i:c:p:239-245
    DOI: 10.1016/j.frl.2015.10.007
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    References listed on IDEAS

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    1. Jarno Kiviaho & Jussi Nikkinen & Vanja Piljak & Timo Rothovius, 2014. "The Co†movement Dynamics of European Frontier Stock Markets," European Financial Management, European Financial Management Association, vol. 20(3), pages 574-595, June.
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    5. Busse, Matthias & Hefeker, Carsten, 2007. "Political risk, institutions and foreign direct investment," European Journal of Political Economy, Elsevier, vol. 23(2), pages 397-415, June.
    6. Perotti, Enrico C. & van Oijen, Pieter, 2001. "Privatization, political risk and stock market development in emerging economies," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 43-69, February.
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    More about this item

    Keywords

    Political risk; Stock returns; Frontier and emerging markets;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F50 - International Economics - - International Relations, National Security, and International Political Economy - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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