The Impact of Political Risk on the Volatility of Stock Returns : the Case of Canada PDF Download

Author: Cosset, Jean-Claude
Publisher: Québec : Faculté des sciences de l'administration de l'Université Laval, Direction de la recherche
ISBN: 9782895241652
Category :
Languages : en
Pages : 34

View

Book Description

Author: Seungho Jung
Publisher: International Monetary Fund
ISBN: 1557759677
Category : Business & Economics
Languages : en
Pages : 36

View

Book Description
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Author: A. Pasumpon Pandian
Publisher: Springer Nature
ISBN: 3030304655
Category : Technology & Engineering
Languages : en
Pages : 748

View

Book Description
From past decades, Computational intelligence embraces a number of nature-inspired computational techniques which mainly encompasses fuzzy sets, genetic algorithms, artificial neural networks and hybrid neuro-fuzzy systems to address the computational complexities such as uncertainties, vagueness and stochastic nature of various computational problems practically. At the same time, Intelligent Control systems are emerging as an innovative methodology which is inspired by various computational intelligence process to promote a control over the systems without the use of any mathematical models. To address the effective use of intelligent control in Computational intelligence systems, International Conference on Intelligent Computing, Information and Control Systems (ICICCS 2019) is initiated to encompass the various research works that helps to develop and advance the next-generation intelligent computing and control systems. This book integrates the computational intelligence and intelligent control systems to provide a powerful methodology for a wide range of data analytics issues in industries and societal applications. The recent research advances in computational intelligence and control systems are addressed, which provide very promising results in various industry, business and societal studies. This book also presents the new algorithms and methodologies for promoting advances in common intelligent computing and control methodologies including evolutionary computation, artificial life, virtual infrastructures, fuzzy logic, artificial immune systems, neural networks and various neuro-hybrid methodologies. This book will be pragmatic for researchers, academicians and students dealing with mathematically intransigent problems. It is intended for both academicians and researchers in the field of Intelligent Computing, Information and Control Systems, along with the distinctive readers in the fields of computational and artificial intelligence to gain more knowledge on Intelligent computing and control systems and their real-world applications.

Author: Multilateral Investment Guarantee Agency
Publisher: World Investment and Political
ISBN: 9781464800399
Category : Business & Economics
Languages : en
Pages : 0

View

Book Description
Annotation Breach of contract is a hot topic in risk management, especially in the context of Public-Private Partnerships for large utility, infrastructure, or mineral resource exploitation projects around the world. Some claims are related to economic crisis, but more often disputes arise from political change, privatization reviews, environmental regulations and governance/corruption issues. Some recent high profile cases involving government tariff renegotiations and award settlements underline the importance of this topic for international investors. Claims of breach of contract often bring about an abrupt termination of activities or force contract renegotiations that subtsantially alter the original terms of the deal and projected financial validity. This study offers significant new data and analysis to allow an informed assessement of current developments and underlying trends, in a new collaboration between the World Bank Group (IBRD, MIGA, and ICSID) and Washington University in St. Louis.

Author: N. Cakici
Publisher: Springer
ISBN: 1137359072
Category : Business & Economics
Languages : en
Pages : 347

View

Book Description
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.

Author: David E. Rapach
Publisher: Emerald Group Publishing
ISBN: 1849505403
Category : Business & Economics
Languages : en
Pages : 691

View

Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.

Author: John H. Cochrane
Publisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117

View

Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428

View

Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Author: Francis X. Diebold
Publisher: Princeton University Press
ISBN: 0691219583
Category : Business & Economics
Languages : en
Pages : 438

View

Book Description
This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings. Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.

Author: Mr.Ari Aisen
Publisher: International Monetary Fund
ISBN: 1455211907
Category : Business & Economics
Languages : en
Pages : 30

View

Book Description
The purpose of this paper is to empirically determine the effects of political instability on economic growth. Using the system-GMM estimator for linear dynamic panel data models on a sample covering up to 169 countries, and 5-year periods from 1960 to 2004, we find that higher degrees of political instability are associated with lower growth rates of GDP per capita. Regarding the channels of transmission, we find that political instability adversely affects growth by lowering the rates of productivity growth and, to a smaller degree, physical and human capital accumulation. Finally, economic freedom and ethnic homogeneity are beneficial to growth, while democracy may have a small negative effect.