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Idiosyncratic risk and international trade: New evidence

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  • Sezgin, Volkan
  • Doruk, Ömer Tuğsal
  • Barak, Ahmet Yasir
  • Ertuğrul, Hasan Murat

Abstract

In this empirical study, the relationship between idiosyncratic volatility and international sales of a sample of non-financial firms traded in the S&P 500, over 40 years is investigated by means of regression analysis and local projections method in a dynamic framework based on panel fixed effects. The results show that idiosyncratic volatility discourages international sales significantly. Moreover, according to the results of the local projections method, idiosyncratic volatility gradually reduces international sales and has a long-term effect. The results are robust to various robustness checks.

Suggested Citation

  • Sezgin, Volkan & Doruk, Ömer Tuğsal & Barak, Ahmet Yasir & Ertuğrul, Hasan Murat, 2025. "Idiosyncratic risk and international trade: New evidence," Finance Research Letters, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004362
    DOI: 10.1016/j.frl.2025.107173
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    Cited by:

    1. Bao, Xiaohua & Gao, Deting & Wei, Yaning & Wu, Wentao & Zhang, Jie, 2025. "Connect to certainty: Domestic trade network and trade policy uncertainty," Finance Research Letters, Elsevier, vol. 82(C).

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    Keywords

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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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