Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)

An Exploration of How Political Risk Components Affect the Stock Volatility Considering ICRG and GARCH Model

Authors
Ming-Hong Sun, Hai-Tao Liu
Corresponding Author
Ming-Hong Sun
Available Online May 2018.
DOI
10.2991/icmesd-18.2018.8How to use a DOI?
Keywords
Political risk, Stock volatility, GARCH model, ICRG model.
Abstract

Five main components of political risk were extracted from the International Country Risk Guide (ICRG) Rating model, this paper researches the elements: Government Stability, Socioeconomic Conditions, Investment Profile, Internal Conflict and External Conflict. We have chosen four countries to examine: the United Kingdom, China, Mexico and Iran. We would like to investigate the relative importance of political risk factors on stock market volatility. In addition we aim to explore the influence of each factor on stock market volatility, in order to highlight the areas of importance for investors when making investment decisions and the government when making political decisions. Considering both qualitative and quantitative issues within the investigation, it is found that less economically developed countries are likely to be more exposed to political risks than its developed counterpart and individual countries have different influential factors from political risk. Moreover each stock market is influenced by a unique series of political factors, with very little overlap between each market in terms of relevant variables.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
May 2018
ISBN
10.2991/icmesd-18.2018.8
ISSN
2352-5428
DOI
10.2991/icmesd-18.2018.8How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ming-Hong Sun
AU  - Hai-Tao Liu
PY  - 2018/05
DA  - 2018/05
TI  - An Exploration of How Political Risk Components Affect the Stock Volatility Considering ICRG and GARCH Model
BT  - Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
PB  - Atlantis Press
SP  - 50
EP  - 56
SN  - 2352-5428
UR  - https://doi.org/10.2991/icmesd-18.2018.8
DO  - 10.2991/icmesd-18.2018.8
ID  - Sun2018/05
ER  -