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Impact of Political News on the Baltic State Stock Markets

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  • 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.

Suggested Citation

  • Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," Umeå Economic Studies 735, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0735
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    References listed on IDEAS

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    Cited by:

    1. Deltuvaitė Vilma, 2016. "Investigation of Stock Market Integration in the Baltic Countries," Economics and Business, De Gruyter Open, vol. 28(1), pages 38-44, April.

    More about this item

    Keywords

    Public information arrival; political risk; volatility; multivariate GARCH;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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