The effect of political volatility on capital markets in EU accession and neighborhood countries.

Hartwell, C. A., 2018. The effect of political volatility on capital markets in EU accession and neighborhood countries. Journal of Economic Policy Reform, 21 (4), 260- 280.

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DOI: 10.1080/17487870.2017.1311793

Abstract

Political instability has the potential to disrupt financial markets. But how do political institutions affect financial movements in an environment where all institutions are in flux? This paper looks at the effects of formal and informal political volatility in the new EU countries of central and eastern Europe, in the Eastern Neighborhood, and farther afield in Central Asia to answer this question. Using asymmetric GARCH modeling on monthly data, I find that informal political volatility has a significant negative effect on stock returns, while formal political institutions generate much higher financial volatility than changes in monetary policy.

Item Type:Article
ISSN:1748-7870
Additional Information:Volume 4: European Integration in the Aftermath of the Debt Crisis
Uncontrolled Keywords:volatility; political institutions; elections; terrorism; EU; stock markets
Group:Faculty of Management
ID Code:30635
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:30 Apr 2018 15:39
Last Modified:19 Nov 2018 09:53

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