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Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market
There is extensive debate on whether political risk is an important factor that influences financial markets and investment decision, especially in developing economies. The main aim of this thesis is to analyze the effect of political risk on stock market returns while controlling for financial ris...
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| Format: | Thesis |
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AUC Knowledge Fountain
2018
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| _version_ | 1867613420752207872 |
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| access_status_str | Open Access |
| author | Alaaeldin, Salma Mohamed |
| author_browse | Alaaeldin, Salma Mohamed |
| author_facet | Alaaeldin, Salma Mohamed |
| author_sort | Alaaeldin, Salma Mohamed |
| collection | Thesis |
| description | There is extensive debate on whether political risk is an important factor that influences financial markets and investment decision, especially in developing economies. The main aim of this thesis is to analyze the effect of political risk on stock market returns while controlling for financial risk, economic risk, interest rates and foreign exchange rates. The main methodology involves estimating the model using a regime switching model to account for changes in volatility. The sample period starts from January 2007 to August 2017. The data includes: EGX30 returns over the period, Political risk as proxied by International Country Risk Guide (ICRG) political risk index, economic risk as proxied by International Country Risk Guide (ICRG) economic risk index, financial risk as proxied by International Country Risk Guide (ICRG) financial risk index, Interest rate corridor rate offered by central bank and the Exchange rate between Egyptian pound and US Dollar. The results of the thesis show that political risk proves to be a significant driver for the market returns during high volatility regimes that reflects an unrest in the market, while its impact disappear during stable times. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-2811 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:51.500Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-2811 Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market Alaaeldin, Salma Mohamed There is extensive debate on whether political risk is an important factor that influences financial markets and investment decision, especially in developing economies. The main aim of this thesis is to analyze the effect of political risk on stock market returns while controlling for financial risk, economic risk, interest rates and foreign exchange rates. The main methodology involves estimating the model using a regime switching model to account for changes in volatility. The sample period starts from January 2007 to August 2017. The data includes: EGX30 returns over the period, Political risk as proxied by International Country Risk Guide (ICRG) political risk index, economic risk as proxied by International Country Risk Guide (ICRG) economic risk index, financial risk as proxied by International Country Risk Guide (ICRG) financial risk index, Interest rate corridor rate offered by central bank and the Exchange rate between Egyptian pound and US Dollar. The results of the thesis show that political risk proves to be a significant driver for the market returns during high volatility regimes that reflects an unrest in the market, while its impact disappear during stable times. 2018-07-22T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/1781 https://fount.aucegypt.edu/context/etds/article/2811/viewcontent/Mohamed_Salma_Updated_Thesis_Draft_.pdf Theses and Dissertations AUC Knowledge Fountain Arab Spring Political Risk Egypt ICRG PRS Switching Model Finance and Financial Management Portfolio and Security Analysis |
| spellingShingle | Arab Spring Political Risk Egypt ICRG PRS Switching Model Finance and Financial Management Portfolio and Security Analysis Alaaeldin, Salma Mohamed Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market |
| title | Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market |
| title_full | Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market |
| title_fullStr | Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market |
| title_full_unstemmed | Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market |
| title_short | Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market |
| title_sort | political risk effect on financial market returns between magnification and neglection evidence from egyptian stock market |
| topic | Arab Spring Political Risk Egypt ICRG PRS Switching Model Finance and Financial Management Portfolio and Security Analysis |
| url | https://fount.aucegypt.edu/etds/1781 https://fount.aucegypt.edu/context/etds/article/2811/viewcontent/Mohamed_Salma_Updated_Thesis_Draft_.pdf |
| work_keys_str_mv | AT alaaeldinsalmamohamed politicalriskeffectonfinancialmarketreturnsbetweenmagnificationandneglectionevidencefromegyptianstockmarket |