Independence day: Political risk and cross‐sectional determinants of firm exposure after the Catalan crisis

Abstract

This article covers the relationship of one of the most uncertainty-generating events in the recent history of Spain: the Catalan secessionist crisis, and the equity market. The research analyses the differences between Catalan companies and the rest of the country and it is focused on the determinants of the variability of returns after the illegal independence referendum. Determinants such as firm country risk concentration, measured as the level of internationalization or the growth opportunities, and others like size or financial constraints. An additional event study examines the impact of the flight of companies from the region. The general approach used in this article is the event study methodology. The experiment is divided in two parts (geographical and firm level). The market model is used to describe the returns, abnormal returns are obtained in one step using dummy variables and all equations are estimated together through a seemingly unrelated regressions framework.

Fuzzy Analytic Network Process with Principal Component Analysis to Establish a Bank Performance Model under the Assumption of Country Risk

“…Explaining the primary "risk factors, causes, levels, and development trends" in a country or region represents the main goal of country risk investigation and assessment [4]. As a multifaceted topic, previous empirical investigations have explored country risk in relation to various contexts, such as environmental issues [5][6][7][8][9], supply chain contexts [10][11][12], and energy [13,14], as well as business contexts related to process effectiveness [15] and firm exposure [16].…”

“…Country risk has also proven to be highly relevant in assessing performance and related activities of banks and financial institutions [1,[17][18][19][20]. To examine country risk and its potential impact on business operations, previous empirical investigations have used a wide range of data analysis techniques, such as Copula [21], regression [6][7][8]10,14,16,17], analytic hierarchy process (AHP) [15], fuzzy sets [8,15,22], Bayesian Belief Network [11], Grey-TOPSIS Model [23], artificial neural networks [24], and principal component analysis [12,25,26]. Nonetheless, no consensus has been reached in proposing a specific methodology and framework.…”

A Russian carol: impact and dependence on global equity markets during the Ukraine invasion

“…The first part of this paper looks at the impact of political and economic uncertainty on capital markets. In this regard, many papers have shown that there is a negative relationship between uncertainty and short-term returns (Angosto-Fernández and Ferrández-Serrano, 2020; He et al ., 2017 or Liu et al ., 2017), with similar results after the COVID-19 pandemic (Ashraf, 2020; Fernandez-Perez et al ., 2021 or Liu et al ., 2020), as investors decide to minimise financial exposure until the contingency is resolved (Brown et al ., 1988).…”