political stability effect on the stock market’s returns and volatility using time series data from the period 02-Jan-2004 to 31 …

In this paper we propose a framework for predicting market returns and volatility using changes in the country … and volatility equations. The appropriate level of aggregation for the political risk variable is also examined. We … analyse 47 emerging and 21 developed markets. We find political risk predictive power primarily for volatility, when looking …