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

Savva Shanaev*, Binam Ghimire

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)70-82
Number of pages13
JournalJournal of Behavioral and Experimental Finance
Volume21
Early online date7 Nov 2018
DOIs
Publication statusPublished - 1 Mar 2019

Fingerprint Dive into the research topics of 'Is all politics local? Regional political risk in Russia and the panel of stock returns'. Together they form a unique fingerprint.

Cite this