Does the quality of governance matter for equity market risk? Evidence from emerging and developed equity markets

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This paper examines the relation between country-level governance and cross-country differences in equity market risk by employing panel data regressions. For emerging markets, we find consistent evidence that governance quality of various dimensions is negatively related to equity market risk. On the contrary, for developed markets, the results show that there is generally little or no relation between governance quality and equity market risk. The results provide practical implication to policy makers of emerging markets by highlighting the relevant governance dimensions that constitute important drivers of stock market risk. The findings have academic implication in the context of equilibrium pricing of stock market in emerging market.

Original languageEnglish
Pages (from-to)660-674
Number of pages15
JournalJournal of Business Economics and Management
Volume16
Issue number3
DOIs
Publication statusPublished - 1 Jan 2015

Fingerprint

Equity markets
Governance
Market risk
Emerging markets
Stock market
Equilibrium pricing
Country differences
Politicians
Panel data

Keywords

  • country-level governance
  • equity market risk
  • governance quality
  • governance risks
  • semi-deviation of equity return
  • standard deviation of equity return
  • stock market

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Economics and Econometrics

Cite this

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title = "Does the quality of governance matter for equity market risk? Evidence from emerging and developed equity markets",
abstract = "This paper examines the relation between country-level governance and cross-country differences in equity market risk by employing panel data regressions. For emerging markets, we find consistent evidence that governance quality of various dimensions is negatively related to equity market risk. On the contrary, for developed markets, the results show that there is generally little or no relation between governance quality and equity market risk. The results provide practical implication to policy makers of emerging markets by highlighting the relevant governance dimensions that constitute important drivers of stock market risk. The findings have academic implication in the context of equilibrium pricing of stock market in emerging market.",
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