Journal article
Precarious Politics and Return Volatility
The Review of financial studies, Vol.25(4), pp.1111-1154
04/01/2012
DOI: 10.1093/rfs/hhr100
Abstract
We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Political uncertainty in countries of trading partners of trade-dependent industries similarly results in greater volatility. Volatility decomposition results indicate that while systematic volatility is associated with domestic political uncertainty, global political risks translate into larger idiosyncratic volatility. (JEL G10, G15)
Details
- Title: Subtitle
- Precarious Politics and Return Volatility
- Creators
- Maria Boutchkova - University of LeicesterHitesh Doshi - University of HoustonArt Durnev - University of IowaAlexander Molchanov - Massey University
- Resource Type
- Journal article
- Publication Details
- The Review of financial studies, Vol.25(4), pp.1111-1154
- Publisher
- Oxford Univ Press
- DOI
- 10.1093/rfs/hhr100
- ISSN
- 0893-9454
- eISSN
- 1465-7368
- Number of pages
- 44
- Language
- English
- Date published
- 04/01/2012
- Academic Unit
- Finance
- Record Identifier
- 9984380423502771
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