The impact of political risk on return, volatility and discontinuity: evidence from the international stock and foreign exchange markets

摘要

The paper examines the impact of political risk on stock and foreign exchange markets in a comprehensiveudsample of sixty-six countries and twenty political risk indicators mostly covering the financialudcrisis and recovery periods from May 2001 to April 2014. The impact is assessed on return, volatilityudand jumps series of monthly frequency. Evidence reveals that Europe is mostly at higher risks generatedudfrom economic crisis; whereas, political risks explain the high volatility and discontinuity in internationaludstock and foreign exchange markets in other regions.