Precarious Politics and Return Volatility

• 成果类型: Article
• 署名作者: Boutchkova, Maria; Doshi, Hitesh; Durnev, Art; Molchanov, Alexander
• 署名单位: University of Iowa; University of Leicester; University of Houston System; University of Houston; Massey University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr100
• 发表日期: 2012
• 页码: 1111
• 关键词: STOCK RETURNS; GOVERNMENT PARTISANSHIP; corporate governance; RISK; MARKETS; POLICY; ELECTIONS; ECONOMY; QUALITY; cycles

摘要

We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Political uncertainty in countries of trading partners of trade-dependent industries similarly results in greater volatility. Volatility decomposition results indicate that while systematic volatility is associated with domestic political uncertainty, global political risks translate into larger idiosyncratic volatility. (JEL G10, G15)