Have a personal or library account? Click to login
Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility Cover

Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility

By: Hira Irshad  
Open Access
|Oct 2017

References

  1. Alesina A., Ozler S., Roubini N. Swagel P. (1992) “Political Instability and Economic Growth” (September), NBER Working Paper # 4173.10.3386/w4173
  2. Alesina A., Roubini N., Cohen G., (1993) “Electoral business cycle in industrial democracies”, 10.1016/0176-2680(93)90027-R
  3. Almeida H., Ferreira D. (2002) “Democracy and the variability of economic performance: Domestic and international sources of economic activity”, Economics and Politics 14, 225-257.10.1111/1468-0343.00107
  4. Alt J., Chrystal K., (1983) Political Economics (University of California Press: Berkeley, CA.). Ali, Haji Suleman, Shujahat Haider Hashmi, and Arshad Hassan. "Relationship Between Political Instability and Domestic Private Investment in Pakistan: A Time Series Analysis (1972-2009)." Pakistan Business Review (2013) (2013).
  5. Anthony A., (2000) “Social Fractionalization, Political instability and the size of Government”, IMF Working Paper, WP/00/82.10.5089/9781451850437.001
  6. Barro R. J., Lee J., (1994) “Sources of Economic Growth”, Carnegie Rochester Conference Series on Public Policy.10.1016/0167-2231(94)90002-7
  7. Bashir M., F., Xu C., Zaman K., Akhmat. G., Ikram M., (2013), “Impact of foreign political instability on Chinese exports”, Economic Modeling 33 (2013) 802-80710.1016/j.econmod.2013.06.002
  8. Beaulieu M. C, Cosset J. C and Essaddam N. (2005)” The impact of political risk on the volatility of stock returns: the case of Canada” Journal of International Business Studies 36, 701-71810.1057/palgrave.jibs.8400160
  9. Ben-Habib J., Spiegel M., (1992) “The Role of Human Capital and Political Instability in Economic Development.” Economic Research Report. New York University, C. V. Starr Center for Applied Economics, New York. Processed.
  10. Bernhard W., Leblang D., (2006) “Democratic Processes and Financial Markets: Pricing Politics” (Cambridge University Press: Cambridge, U.K.).10.1017/CBO9780511607226
  11. Berthelemy J.C., Kauffmann C., Renard L.Wegner L., (2002) “Political Instability, Political Regimes and Economic Performance in African Countries” African Economic Outlook (March).
  12. Between Political Instability and Economic Growth in Nepal (1975-2003)” South Asia Network
  13. Bittlingmayer G., (1998) “Output, stock volatility, and political uncertainty in a natural experiment: Germany 1880-1940”, Journal of Finance 53, 2243-2256.10.1111/0022-1082.00090
  14. Blake L., “Some Relations between Volatility and Serial Correlation in Stock Market Returns”, Journal of Business, LXV 1992, 199-219.10.1086/296565
  15. Botero J., Djankov S., La Porta R., Lopez-de-Silanes F., (2004) “The regulation of labor”, Quarterly Journal of Economics 119, 1339-1382.10.1162/0033553042476215
  16. Boutchkove. M., Doshi H., Durnev A., (2010), “Precarious Politics and Return Volatility”, The Review of Financial Studies, Volume 25.10.2139/ssrn.1317834
  17. Brempong Traynor (1999) “Political Instability, Investment and Economic Growth in Sub-Saharan Africa, Journal of African Economies.
  18. Bussie. M., and Mulder. C., (2000) “Political Instability and Economic Vulnerability”, International Journal of Finance and Economic. 5: 309-330 (2000)10.1002/1099-1158(200010)5:4<;309::AID-IJFE136>3.0.CO;2-I
  19. Bussiere M., Mulder C., (1999) “Political instability and economic vulnerability”, International Monetary Fund Working Paper (WP/99/46).10.5089/9781451846539.001
  20. Campos N. F., Karanasos M. G., (2008) “Growth, volatility and political instability: Nonlinear time-series evidence for Argentina, 1896-2000” Economics Letters, 100, pp.135-137.10.1016/j.econlet.2007.12.013
  21. Campos N. F., Nugent J. B., (1999) “Who is Afraid of Political Instability” University of Southern California, Mimeo.10.2139/ssrn.1539705
  22. Camposw N., F., Nugent J., B., (2002) Aggregate Investment and Political Instability an Econometric investigation, Economica (2003) 70, 533-54910.1111/1468-0335.01081
  23. Chan Y., Wei, J., (1996) “Political Risk and Stock Price Volatility: The Case of Hong Kong”, Pacific Basin Finance Journal, vol. 4, 259-27510.1016/0927-538X(96)00014-5
  24. Clark, E., (1997), “Valuing Political Risk”, Journal of International Money and Finance, 16, No. 3, 477-490.10.1016/S0261-5606(97)00008-9
  25. Clark. E., Masood O., Tunaru R., (2006). “Political Events Affecting the Pakistan Stock Exchange: An Analysis of the Past and Forecasting the Future” presented QQASS, Special issue conference
  26. Cosset J.C., Suret J.M., (1995) “Political Risk and the Benefits of International Portfolio Diversification”, Journal of International Business Studies, 26, 2nd quarter, 301-318.10.1057/palgrave.jibs.8490175
  27. Cutler, D., Poterba J., Summers L., (1989), ‘What Moves Stock Prices?’,Journal of Portfolio Management, 15, 4-11.10.3905/jpm.1989.409212
  28. De Haan J., Siermann C., (1996), “Political Instability, Freedom and Economic Growth” Economic Development and Cultural Change, 44 339-5010.1086/452217
  29. Dimitrious A., Simon P., (2001) “Political Instability and Economic Growth: UK Time Series Evidence”, Scottish Journal of Political Economy (September), Vol.48, No.4, pp.244-249.
  30. Dimitrious A., Siriopoulos C., (2000) “The Role of Political Instability in Stock Market Development and Economic Growth: The Case of Greece”, Economic Notes, vol. 29(3), pp. 355-7410.1111/1468-0300.00037
  31. Durnev A., (2010) “The Real Effects of Political Uncertainty: Elections and Investment 10.2139/ssrn.1695382
  32. Erb C.B., Harvey C.R., Viskanta T.E., (1996), “Political Risk, Economic Risk and Financial Risk”, Financial Analysts Journal, November-December. European Journal of Political Economy 9, 1-23.10.2469/faj.v52.n6.2038
  33. Examining American and British stock returns, 1930-2000”, American Journal of Political Science 49, 780-802.
  34. Foerster S., Schmitz J., (1997) “The transmission of U.S. election cycles to international stock returns”, Journal of International Business Studies 28, 1-13.10.1057/palgrave.jibs.8490089
  35. Fosu A. K., (2001) “Political instability and economic growth in developing economies: some specification empirics”, Economics Letters, 70, pp. 289-294.10.1016/S0165-1765(00)00357-8
  36. Ghura D., Mercereau B., (2004) “Political Instability and Growth: The Central African Greenwood J., Smith B., (1996) “Financial Markets in Development and Development in Financial Markets”, Journal of Economics Dynamic and Control,21: 145-81 Growth”, Journal of African Economies, Vol.8, No.1, pp.87-107.
  37. Guillaumont P., Jeanneney, S.G., and Brun J.F., (1999) “How Instability Lowers African 10.1093/jae/8.1.87
  38. Gul S., Khan M. T., Saif N., Rehman S., Roohullah (2013) “Stock Market Reaction to Political Events (Evidence from Pakistan)”, Journal of Economics and Sustainable Development, Vol.4, No.1, 2013
  39. Haber S., Raz A., Maurer N., (2000) “Political Instability, Credible Commitments and Economic Growth: Evidence from Revolutionary Mexico”, Stanford University.
  40. Hibbs D., (1977), Political parties and macroeconomic policy, American Political Science Review, 71, 1467-1487.10.1017/S0003055400269712
  41. Hussain F., Qasim M. A., (1997) “The Pakistani Equity Market in 50 Years: A Review”, The Pakistan Development Review, 36:4 Part II (Winter 1997) pp. 863-872
  42. Institute of Integrated Development Studies, Katmandu, Nepal (2005) “The Relationship Khan, Shahrukh. "The military and economic development in Pakistan." Political Economy Research Institute, University of Massachusetts working paper series 291 (2012).
  43. Khan A., Ahmed M. S., (2009), Trading Volume and Stock Return: The Impact of Events in Pakistan on KSE 100 Indexes”, International Review of Business Research Papers Vol. 5 No. 5 September 2009 Pp. 373-383
  44. Khan S.U., Saqib O.F., (2010), “Political instability and inflation in Pakistan” Journal of Asian Economics (8 September 2011)
  45. Kim H.Y., and Mei J.P., (2001) “What makes the stock market jump? An analysis of political risk on Hong Kong stock returns”, Journal of International Money and Finance 20: 1003-1016.10.1016/S0261-5606(01)00035-3
  46. Klibanoff P., Lamont O., Wizman, T., 1998, “Investor reaction to salient news in closed-end country funds”, Journal of Finance, 53 (2), 673-99.10.1111/0022-1082.265570
  47. Knight B., (2006), “Are policy platforms capitalized into equity prices? Evidence from the Bush/Gore 2000 presidential election”, Journal of Public Economics 90, 751-773.10.1016/j.jpubeco.2005.06.003
  48. Leblang D., Mukherjee B., (2005), “Government partisanship, elections, and the stock market: Liu T., (2010), “Institutional Investor Protection and Political Uncertainty: Evidence from Cycles of Investment and Elections” Thesis Presented in Partial Fulfillment of the Requirements for the Degree of Master of Science in Administration (FINANCE) at John
  49. Molson School of Business Concordia University Montreal, Quebec, Canada Malik. S., Hussain. S., and Ahmed. S., (2009) “Impact of Political Event on Trading volume and Stock Returns: The Case of KSE”, International Review of Business Research Papers, Vol. 5 No. 4 June 2009 Pp. 354-364
  50. Mckenzie M., Faff D., Robert W., (2003), “The Determinants of Conditional Autocorrelation in Stock Returns”, The Journal of Financial Research, 26, 259- 274.10.1111/1475-6803.00058
  51. McMillian D., Speight A., (2002), “Return-volume dynamics in UK futures”, Applied financial economics, 12, 707-713.10.1080/09603100110039773
  52. Mei J., Guo L., (2004), “Political uncertainty, financial crisis and market volatility”, European Financial Management 10, 639-657.10.1111/j.1354-7798.2004.00269.x
  53. Mitchell M., L., Mulhern J. H., (1994), "The impact of public information on the stock market”, Journal of Business, 49, 496-508.
  54. Niederhofer, Gibbs V. S., Bullock J., (1970). “Presidential Elections and the Stock Market” Financial Analysts Journal, 26: 111-113.
  55. Ouattara B. (2005) “Modeling the Long Run Determinants of Private Investment in Senegal”, Credit Research Paper, Centre for Research in Economic Development and International Trade, University of Nottingham
  56. Pesaran M.H, Shin Y. AND Smith R.J (2001), “Bounds Testing Approaches to the Analysis of Level Relationships” Journal of Applied Econometrics, Journal of Applied Economics, 16: 289 - 326 (200110.1002/jae.616
  57. Pesaran MH, Shin Y. (1999) “An autoregressive distributed lag modelling approach to cointegration analysis. Chapter 11 in Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium “, Cambridge University Press: Cambridge
  58. Przeworski A., Alvarez M., Michael A., Chiebub J., Limongi F., (2000) “Democracy and Developmen”, (New York: Cambridge University Press, N.Y.)
  59. Pyun C., Lee S., Nam K., (2000), “Volatility and information flows in emerging equity markets: A case of the Korean stock exchange”, International Review of Financial Analysis, Vol. 9, pp. 405-420.10.1016/S1057-5219(00)00037-5
  60. Qureshi M. N., Ali. K.., Khan I. R., (2010), “Political Instability and Economic Development:Pakistan Time-Series Analysis”, International Research Journal of Finance and Economics, Issue 56 , 1450-2887
  61. Ragunathan V., and Peker A., (1997), “Price variability, trading volume and market depth: evidence from the Australian futures market”, Applied Financial Economics, Vol. 7, pp. 447-4454.10.1080/096031097333303
  62. Razi and Shakir (2005) “Pakistan 58 years- 14 August 1947 to 14 August 2005”, Sang-e-Meel Republic” IMF Working Paper/04/80, African and Asia and Pacific Department.
  63. Santa-Clara, P., and Valkanov R. (2003), “The presidential puzzle: Political cycles and the stock market”, Journal of Finance 58, 1841-1872. Sensitivity to Stock Prices,” working paper, McGill University, September 2010
  64. Snowberg. E., Wolfers J., Zitzewitz E.,( 2007), “Partisan impacts on the economy: Evidence from markets and close elections”, Quarterly Journal of Economics 122, 807-829.10.1162/qjec.122.2.807
  65. Stickel S., Verrecchia R., (1994) “Evidence that Volume Sustains Price Changes”, Financial Analysts Journal (November-December), 57-67.10.2469/faj.v50.n6.57
  66. Tang C., F., Abosedra S., (2013) “The impacts of tourism, energy consumption and political instability on economic growth in the MENA countries” (6 January 2014) Published by Elsevier Ltd.10.1016/j.enpol.2014.01.004
  67. Tauchen G. E., Pitts M., (1983), “The Price Variability Volume Relationship on Speculative Markets”, Econometrica, Vol.51, pp. 485- 505.10.2307/1912002
  68. Telatar E., Telatar F., Cavusoglu T., Tosun, U., (2010) “Political instability, political freedom and inflation”, Applied Economics, 2010, 42, 3839-384710.1080/00036840802360237
  69. Voth H. J., (2002), “Stock price volatility and political uncertainty: Evidence from interwar period”, working paper, Universitat Pompeu Fabra.10.2139/ssrn.342641
  70. Wang J., (1994), “A model of competitive trading volume”, Journal of Political Economy, Vol.102, pp. 127-168.10.1086/261924
  71. William E., Rebelo. S., (1993) “Fiscal Policy and Growth: An Empirical Investigation” Journal of Monetary Economics, 32, (December), pp.417-58.
  72. Wolfers J., Zitzewitz E., (2009), “Using markets to inform policy: The case of the Iraq war”, Economica 76, 225-250.10.1111/j.1468-0335.2008.00750.x
  73. Yi F., (1997) “Democracy, Political Instability and Economic Growth”, British Journal of Political Science, Vol.27, No.3, pp.391-418.10.1017/S0007123497000197
  74. Zureiqat H. M. (2005), “Political Instability and Economic Performance: A Panel Data
DOI: https://doi.org/10.1515/sbe-2017-0023 | Journal eISSN: 2344-5416 | Journal ISSN: 1842-4120
Language: English
Page range: 70 - 99
Published on: Oct 21, 2017
Published by: Lucian Blaga University of Sibiu
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year

© 2017 Hira Irshad, published by Lucian Blaga University of Sibiu
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.