The effect of political risk on emerging and developed markets
Year: 2017

&lt;p&gt;This thesis consists of three substantive chapters (3, 4, 5) on the impact of political risk on equity and exchange rate returns and their volatilities. Chapter 3 proposes a framework for predicting market returns and volatility using changes in the country’s political risk. We identify the appropriate lag to to calculate changes over, and how the changes should be included in mean and volatility equations. The level of aggregation of political risk variable is also examined. Analysing