Political Risk and Stock Market Volatility - Couverture souple

Suleman, Muhammad Tahir

 
9783845411811: Political Risk and Stock Market Volatility
Couverture souple
ISBN 10 : 3845411813 ISBN 13 : 9783845411811
Editeur : LAP Lambert Academic Publishing, 2011

Synopsis

Research on political risk tends to elucidate that political news affects financial markets. Especially stock markets respond to new information regarding political decisions that may affect domestic and foreign policy. In this study, we examined the effect of good and bad political news on returns and volatility for this We employ the EGARCH model proposed by Engle and Victor (1991) as it allows good and bad news to have a different impact on volatility.Our result shows that good news has positive impact on the stock returns and also decreased the volatility.On the other hand, bad political news has negative influence on the returns (decrease the returns) and increase the volatility (positive effect).

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À propos de l?auteur

Tahir is PhD Finance Student. He hold M.Sc. Quantitative Finance degree from Hanken School of Economics, Finland and MS Financial Economics degree from University of Skovde, Sweden. Thair is currently working on financial market volatility.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP Lambert Academic Publishing
Date d'édition
2011
Langue
anglais
ISBN 10 
3845411813
ISBN 13 
9783845411811
Reliure
Broché
Nombre de pages
72
Coordonnées du fabricant
non disponible
Personne responsable
non disponible