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 language | English |
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Pages (from-to) | 70-82 |
Number of pages | 13 |
Journal | Journal of Behavioral and Experimental Finance |
Volume | 21 |
Early online date | 7 Nov 2018 |
DOIs | |
Publication status | Published - 1 Mar 2019 |
Keywords
- Emerging markets
- Panel data analysis
- Political risk
- Regional politics
- Risk pricing
- Russian stock market