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

Shanaev, Savva and Ghimire, Binam (2019) Is all politics local? Regional political risk in Russia and the panel of stock returns. Journal of Behavioral and Experimental Finance, 21. pp. 70-82. ISSN 2214-6350

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Official URL: https://doi.org/10.1016/j.jbef.2018.11.002

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.

Item Type: Article
Uncontrolled Keywords: Russian stock market, Political risk, Emerging markets, Regional politics, Risk pricing, Panel data analysis
Subjects: N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Elena Carlaw
Date Deposited: 28 Mar 2019 14:46
Last Modified: 10 Oct 2019 21:00
URI: http://nrl.northumbria.ac.uk/id/eprint/38605

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