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

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  • Beaulieu, Marie-claude
  • Cosset, Jean-Claude
  • Essaddam, Naceur

Abstract

This paper examines the impact of political risk in Canada on the volatility of stock returns. Our results suggest that political news associated with a possible separation of Quebec from Canada plays an important role in the volatility of stock returns. We also show that the volatility of stock returns varies with the degree of a firm’s exposure to political risk, namely, the structure of assets and the extent of foreign involvement.

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Bibliographic Info

Paper provided by CIRPEE in its series Cahiers de recherche with number 0208.

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Date of creation: 2002
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Handle: RePEc:lvl:lacicr:0208

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