Democracy, political risks and stock market performance

被引：95
|
作者：
Lehkonen, Heikki [1 ]
Heimonen, Kari [1 ]
机构：
[1] Univ Jyvaskyla, Sch Business & Econ, FI-40014 Jyvaskyla, Finland
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2015年 / 59卷
关键词：
Democracy; Political risk; Emerging markets; Stock market performance; SYSTEM GMM ESTIMATOR; PANEL-DATA; MONTE-CARLO; VOLATILITY;
D O I：
10.1016/j.jimonfin.2015.06.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study examines the impacts of democracy and political risk on stock market. Using annualized panel data for 49 emerging markets for 2000-2012 we find evidence that democracy and political risk do have impact on stock market returns, and the relationship between democracy and political risk is parabolic, i.e., there is a threshold level of democracy after which political risk begins to decline. Also our results suggest that decreases in political risk lead to higher returns. (C) 2015 Elsevier Ltd. All rights reserved.
引用
收藏
页码：77 / 99
页数：23
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