Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 735: Impact of Political News on the Baltic State Stock Markets
Albina Soultanaeva ()
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Albina Soultanaeva: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Abstract: This paper studies the link between political news releases, and the returns and volatilities in the stock markets of Riga, Tallinn and Vilnius. Political news releases are viewed as proxies for political risk. The results indicate that political news events regarding domestic and foreign, excluding Russia, political issues led, on average, to lower uncertainty in the stock markets of Riga and Tallinn in 2001-2003. At the same time, political risk from Russia increased the volatility of the stock market in Tallinn. We found that there is only a weak relationship between political risks of different origins and the stock market volatility in the Baltic states in 2004-2007. In addition, we found a significant Monday effect, consistent with the trading behavior of institutional investors.
Keywords: Public information arrival; political risk; volatility; multivariate GARCH
21 pages, March 27, 2008
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