The political risk factor in emerging, frontier, and developed stock markets

Dimic, Nebojsa; Orlov, Vitaly; Piljak, Vanja

doi:10.1016/j.frl.2015.10.007

Cited by 92 publications

(60 citation statements)

References 11 publications

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“…Previous research suggests that higher political risk is associated with higher expected returns (Erb et al, 1996a;Erb et al, 1996b;Bilson et al, 2002;Harvey, 2004). However, in some cases political risk has proven to violate this classical risk-return relation (Erb et al, 1996a;Diamonte, 1996;Perotti & van Oijen, 2001;Lehkonen & Heimonen, 2015;Dimic et al, 2015). Lehkonen & Heimonen (2015) refer to this ongoing dispute as a political risk sign paradox.…”

Section: Literaturementioning

confidence: 99%

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How Underlying Dimensions of Political Risk Affect Excess Return in Emerging and Developed Markets

Nesset

Bøgeberg

Kjærland

et al. 2019

Journal of Emerging Market Finance

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Political risk is expected to increase due to emerging markets' increasing influence on the world economy. We identify Legal, Tension, Conflict, and Policy as underlying dimensions through Principal Component Analysis, using a disaggregated political risk index. Using a two-way error correction model Ethnic and Religious Tension is identified as a new and distinct dimension of political risk. Consequently, global investors are likely to benefit from understanding which dimension implies a reward. Investors in particular should direct their attention towards Tension, which seems to command a risk premium regardless of both market and time

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Section: Literaturementioning

confidence: 99%

“…When investigating sub-groups of political risk, as defined by Bekaert et al (2005Bekaert et al ( , 2014, in addition to political risk components, both are suggested as being unique to specific markets (Dimic et al, 2015). However, tensions are associated with lower stock market returns in less developed markets.…”

Section: Literaturementioning

confidence: 99%

How Underlying Dimensions of Political Risk Affect Excess Return in Emerging and Developed Markets

Nesset

Bøgeberg

Kjærland

et al. 2019

Journal of Emerging Market Finance

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“…7 Similarly, Dimic et al (2015) show that the magnitude of effect of ICRG on stock returns depends on developed, emerging, and frontier markets categories.…”

Section: A Descriptive Summarymentioning

confidence: 99%

Nexus between Institutional Quality and Capital Inflows at Different Stages of Economic Development

Athari

Adaoglu

2017

Int Rev Finance

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We examine the determinants of capital inflows for a global sample of countries at various stages of economic development, namely factor‐, efficiency‐, and innovation‐driven stages. We investigate the effect of institutional quality on capital inflows. The magnitude of institutional quality effect depends on the stage of economic development. Both public and private institutional qualities positively affect capital inflows in efficiency‐ and innovation‐driven countries. Specifically, corporate ethics and accountability are pull factors for capital inflows at all stages.

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“…Additionally, Dimic, Orlov, and Piljak (2015), analyze the effect of political risk on stock markets in the context of emerging, frontier and developed stock markets classification by panel data. Study finds that despite political risk affects all type of markets, individual effect of risk components differ according to the market category.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Among these studies, Mei (1999), Keles (2007), Girard and Omran (2007), Yartey(2008), Dutta(2009), Sanlisoy and Kok (2010), Cam (2014), Kaya, Gungor and Ozcomak (2014), Dimic, Orlov and Piljak (2015), Erkocak and Cam (2015), Kara and Karabiyik (2015), Lehkonen and Heimonen (2015) prefer packet data published by institutions like ICB (International Crisis Behavior), ICRG or IFC; while Yaprakli and Gungor (2007), Bekaert, Harvey, Lundblad and Siegel (2012) prefer political risk premiums and finally He (1999), Kim and Mei(2001), Suleman (2012), Abdul-Qadir and Yaroson (2013), Gul et al (2013) and Ada et al (2013) take political events and news in the form of dummy variable as the indicator of political risk.…”

Section: Literature Reviewmentioning

confidence: 99%

Effect of the Political Risk on Capital Asset Valuation in Financial Markets: The Case of Turkey

Toraman¹,

Tuncay²

2017

berj

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Recent political events and the subsequent movements in financial markets both in the developing and the developed countries raise the instincts regarding the interaction of political risks and financial markets and increase the importance of understanding the behavior of financial markets against political risks. Therefore the purpose of this study is to explain the impact of political risks on the returns of securities traded on capital markets in Turkey in the framework of Capital Asset Pricing Model (CAPM). The relation between the monthly returns of 47 companies' assets being traded on Borsa Istanbul and the political risks in Turkey between the years of 1997 and 2013 is examined in the study. Results of the analysis held by two-step regression method represent that there exists a positive and linear relation between beta and expected return. On the other hand, it is found that 4 out of 12 political risk factors, in other words

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The political risk factor in emerging, frontier, and developed stock markets

Cited by 92 publications

References 11 publications

How Underlying Dimensions of Political Risk Affect Excess Return in Emerging and Developed Markets

How Underlying Dimensions of Political Risk Affect Excess Return in Emerging and Developed Markets

Nexus between Institutional Quality and Capital Inflows at Different Stages of Economic Development

Effect of the Political Risk on Capital Asset Valuation in Financial Markets: The Case of Turkey

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