کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5056701 1371657 2009 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Governance and stock market performance
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Governance and stock market performance
چکیده انگلیسی

This study uses international asset pricing models to investigate the link between the quality of government institutions and the performance of global stock markets. The results demonstrate a significant positive association between stock market performance measures and the quality of the institutional environment. Performance measures examined for the cross-section of countries were the average monthly stock index excess returns and the Sharpe ratio. All measures of performance were adjusted for global and local risk factors known to explain their international variation. The quality of governance is also found to be negatively associated with stock market total risk and idiosyncratic risk, consistent with the notion that stable institutions are linked to reduced variations in equity returns. These findings suggest countries with better-developed governance systems have stock markets with higher returns on equity and lower levels of risk. The results lend support for the view that a precondition for financial market development is the improvement of the institutions which govern the process of exchange.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Systems - Volume 33, Issue 2, June 2009, Pages 93-116
نویسندگان
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