This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Impact of Political News on the Baltic State Stock Markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Soultanaeva, Albina () (Department of Economics, Umeå University)
Abstract

This paper studies the link between political news releases, and the returns and volatilities in the stock markets of Riga, Tallinn and Vilnius. Political news releases are viewed as proxies for political risk. The results indicate that political news events regarding domestic and foreign, excluding Russia, political issues led, on average, to lower uncertainty in the stock markets of Riga and Tallinn in 2001-2003. At the same time, political risk from Russia increased the volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect, consistent with the trading behavior of institutional investors.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.econ.umu.se/ues/ues735.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 735.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 21 pages
Date of creation: 27 Mar 2008
Date of revision:
Handle: RePEc:hhs:umnees:0735

Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Email:
Web page: http://www.econ.umu.se/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Kjell-Göran Holmberg).

Related research
Keywords: Public information arrival; political risk; volatility; multivariate GARCH;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  2. Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-46, September. [Downloadable!] (restricted)
  3. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September. [Downloadable!] (restricted)
  4. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August. [Downloadable!] (restricted)
    Other versions:
  5. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  6. Alexei Goriaev & Alexei Zabotkin, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Working Papers w0077, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    Other versions:
  7. de Goeij, Peter & Marquering, Wessel, 2005. "The generalized asymmetric dynamic covariance model," Finance Research Letters, Elsevier, vol. 2(2), pages 67-74, June. [Downloadable!] (restricted)
  8. Artyom Durnev & Randall Morck & Bernard Yeung, 2001. "Capital Markets and Capital Allocation: Implications for Economies in Transition," William Davidson Institute Working Papers Series 417, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    Other versions:
  9. Chan, Yue-cheong & John Wei, K. C., 1996. "Political risk and stock price volatility: The case of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 259-275, July. [Downloadable!] (restricted)
  10. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380. [Downloadable!] (restricted)
  11. Edmonds, Radcliffe Jr. & Kutan, Ali M., 2002. "Is public information really irrelevant in explaining asset returns?," Economics Letters, Elsevier, vol. 76(2), pages 223-229, July. [Downloadable!] (restricted)
  12. Chan, Yue-cheong & Chui, Andy C. W. & Kwok, Chuck C. Y., 2001. "The impact of salient political and economic news on the trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 9(3), pages 195-217, June. [Downloadable!] (restricted)
  13. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September. [Downloadable!] (restricted)
  14. Chang, Yuanchen & Taylor, Stephen J., 2003. "Information arrivals and intraday exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 85-112, April. [Downloadable!] (restricted)
  15. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets1," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? Cannot find something on IDEAS? Encourage the publisher to index it! Instructions.

This page was last updated on 2009-12-4.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.