TAILIEUCHUNG - The effect of corruption on stock market volatility

This paper addresses the issue of impacts of corruption on stock market volatility. By applying panel data analysis on a set of 16 countries from 2010 to 2016, sufficient evidence for a negative relationship between corruption and stock market volatility is provided, while controlling for several macroeconomic and financial variables. | Journal of Applied Finance Banking vol. 10 no. 2 2020 117-123 ISSN 1792-6580 print version 1792-6599 online Scientific Press International Limited The effect of corruption on stock market volatility Eleftherios Spyromitros1 Abstract This paper addresses the issue of impacts of corruption on stock market volatility. By applying panel data analysis on a set of 16 countries from 2010 to 2016 sufficient evidence for a negative relationship between corruption and stock market volatility is provided while controlling for several macroeconomic and financial variables. JEL classification numbers D73 E44 G1. Keywords Corruption stock market volatility panel data. 1. Introduction The role of corruption in affecting economic growth has been extensively investigated by the existing literature providing mixed results. The seminal study by Mauro 1995 shows a negative effect of corruption on growth through its impact on investment. Méon and Sekkat 2005 argue that corruption may have a different impact on growth depending upon the quality of governing institutions. Precisely they show that under low quality governing institutions growth lowers more. In the same context the embezzlement of tax revenues by public officials leads the government to rely more on seigniorage to cover its expenditures raising thus inflationand lowering investment Blackburn and Powell 2011 . On the other hand Aidt et al. 2008 show that low quality of government institutions is not related to economic growth. Méon and Weill 2010 confirm that corruption is less damaging in countries where the institutional framework is ineffective. Moreover the role of economic freedom in modifying the impact of corruption on growth is investigated by Swaleheen and Stansel 2007 and Heckelman and Powell 2010 . It is shown that higher lower economic freedom is 1 Department of Economics Democritus University of Thrace. Article Info Received October 7 2019. Revised October 22 2019. Published online March 1 2020. 118 Eleftherios

• Đầu tư Chứng khoán
• Stock market volatility
• Panel data
• Stock market
• Several macroeconomic
• Financial variables
• Volatility models
• Volatility forecasts
• Forecasting performance
• Forecasting stock return volatility
• Monthly stock market volatility on economic growth in Nigeria
• Monthly stock market volatility
• Economic growth in Nigeria
• Non macroeconomic factors
• Investors must embrace macroeconomic
• Financial market stability
• Financial market volatility
• Stock index futures
• Stock index futures trading
• Volatility impact of stock index
• Indian stock markets
• BSE several statistical tests
• Stock Volatility in Top Industries
• He modelling of stock market volatility
• Measure of risk
• Garch models
• Asymmetric variation
• Asymmetric Garch models
• Market volatility
• KLCI Futures
• Empirical approach
• GST implementation
• Malaysian stock market index volatility
• Asset price volatility
• Vietnam stock market
• Value at risk
• Estimate market risks
• Risk management models
• Oil volatility
• Oil import price
• Conditional mean
• Conditional variances
• Simultaneous equations model
• Aggregate stock price level
• Generalised Autoregressive Conditional Heteroscedasticity
• Case of aggregate stock price
• Multivariate GARCH
• Oil price
• Volatility spillover
• Stock markets in G7 countries
• Risk management
• Exchange rate
• Volatility shifts
• Spillover effects
• Bond market
• Cross listing
• Market segmentation
• Chinese stock markets
• Perfectly segmented market
• Volatility and liquidity
• Volatility transmission
• Causality in variance
• Conditional correlations
• Oil prices
• Sector indexes
• Portfolio decisions
• Ownership restriction
• Noise trading
• Price volatility
• Information and noise trading
• Doctoral thesis summary
• Research on the stock prices
• The stock prices synchronicityof listed companies
• Share price volatility
• Conditional variance covariance matrix
• Volatility timing
• Asset allocation
• Economic value
• Vietnamese stock markets
• The role analysis of accrual management
• Loss loan provision factor
• Fair value accounting to earnings volatility
• The Stock Exchange of Indonesia Website
• Indonesia Capital Market
• The accrual management role
• Stock exchange
• Conditional volatility
• Exchange rate
• Interest rate
• Monetary policy
• Information spillover effect
• GARCH model
• Rates of return
• Volatility of return rate
• Modern Jungle
• Intraday Volatility
• Action Plan
• Market Indicators
• Global Factors
• Seasonality and Cycles
• Pediatric
• Hemato Oncology
• Thalassemia Disorders
• Neuroblastoma and Whole
• Genome Searches
• Neuroblastoma
• Macroeconomic variables
• Equity returns
• Macro series announcement
• Return volatility
• Tunisian financial market
• Google trends
• Search engine
• Investor attention
• Stock illiquidity
• Stock volatility
• Share Valuation Theories
• Dividend Irrelevancy
• Dividend Policy
• Traditional Finance Theory
• Conclusions