An Exploration of How Political Risk Components Affect the Stock Volatility Considering ICRG and GARCH Model
- 10.2991/icmesd-18.2018.8How to use a DOI?
- Political risk, Stock volatility, GARCH model, ICRG model.
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.
- © 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 -