The impact of political risk on the volatility of stock returns: the case of Canada

• 成果类型: Article
• 署名作者: Beaulieu, MC; Cosset, JC; Essaddam, N
• 署名单位: Universite de Montreal; HEC Montreal; Laval University; Royal Military College - Canada
• 刊物名称: JOURNAL OF INTERNATIONAL BUSINESS STUDIES
• ISSN/ISSBN: 0047-2506
• DOI: 10.1057/palgrave.jibs.8400160
• 发表日期: 2005
• 页码: 701-718
• 关键词: Political risk; stock market volatility; firm exposure

摘要

This paper examines the impact of political risk in Canada on the volatility of stock returns. Our results suggest that political news associated with the possible separation of Quebec from Canada plays an important role in the volatility of stock returns. However, our evidence indicates that investors do not require a risk premium, supporting the idea that political risk is diversifiable. We also show that stock return volatility varies with the degree of a firm's exposure to political risk, namely, the structure of assets and the extent of foreign involvement, which indicates that firms most exposed to political risk bear the burden of diversification.