Год выпуска: 2011 Автор: Muhammad Tahir Suleman Издательство: LAP Lambert Academic Publishing Страниц: 72 ISBN: 9783845411811
Описание
Research on political risk tends to elucidate that political news affects ?nancial 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).
