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Corporate Governance and Downside Systematic Risk with a Moderating Role of Socio-Political in Pakistan

Author

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  • Shahzad Hussain

    (Shaheed Zulfiqar Ali Bhutto Institute of Science & Technology, Islamabad)

  • Syed Muhammad Amir Shah

    (Allama Iqbal Open University, Islamabad)

Abstract

This research investigates the effect of corporate governance on downside systematic risk with moderating effect of socio-political factor. Corporate governance covers key areas such as board structure, ownership structure and audit quality. The research used two proxies, terrorism and assassination, to construct socio-political index, whereas downside- CAPM of Estrada (2002) is used as a measure of systematic risk. Using a sample of 201 non-financial firms from 2003 to 2014, this study has used the Arellano-Bond Dynamic Data-Estimation regression approach to uncover the relationship. Results revealed that the corporate governance mechanism reduces the firm’s downside systematic risk and socio-political factor moderates the relationship between corporate governance and downside systematic risk.

Suggested Citation

  • Shahzad Hussain & Syed Muhammad Amir Shah, 2017. "Corporate Governance and Downside Systematic Risk with a Moderating Role of Socio-Political in Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(4), pages 233-258, December.
    • Handle: RePEc:bec:imsber:v:9:y:2017:i:4:p:233-258
    DOI: dx.doi.org/10.22547/BER/9.4.11
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    Cited by:

    1. Farrukh Naveed & Muhammad Ishfaq & Zahid Maqbool, 2021. "The downside risk of mutual funds: Does the quality of corporate governance matter? Empirical evidence from Pakistan," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 376-388, September.
    2. Sattar Khan & Yasir Kamal & Shahid Hussain & Muhammad Abbas, 2022. "Corporate governance looking back to look forward in Pakistan: a review, synthesis and future research agenda," Future Business Journal, Springer, vol. 8(1), pages 1-32, December.
    3. Hussain, Shahzad & Akbar, Muhammad & Malik, Qaisar & Ahmad, Tanveer & Abbas, Nasir, 2021. "Downside Systematic Risk in Pakistani Stock Market: Role of Corporate Governance, Financial Liberalization and Investor Sentiment," CAFE Working Papers 14, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.

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    More about this item

    Keywords

    D-CAPM; Corporate Governance; Socio-Political factors;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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