The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada
AbstractThis 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 InfoPaper provided by CIRPEE in its series Cahiers de recherche with number 0208.
Date of creation: 2002
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-13 (All new papers)
- NEP-FIN-2003-04-13 (Finance)
- NEP-FMK-2003-04-13 (Financial Markets)
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