CEU Electronic Theses and Dissertations, 2013
| Author | Huszar, Christopher Louis |
|---|---|
| Title | The Role of Perceived Qualities of Governance on Domestic Stock Market Returns (2002 - 2011) |
| Summary | This thesis tests the relationship between perceived qualities of governance and domestic stock market returns from 2002 to 2011. The hypothesis is that higher qualities of institutions and governance will lead to a safer risk-return relationship, with less variation in returns and less high-return opportunities. The first section of the thesis serves as an introduction to previous literature analyzing the impact of political institutions and governance on a variety of economic and financial indicators. This research analyzes the impact on stock market returns and volatility. To test this relationship, the World Bank Governance Indicators (Rule of Law, Regulatory Quality, and Bureaucratic Performance) serve as independent variables and the Morgan Stanley Capital International Country Indices as the dependent variable. Additionally, the research will analyze whether institutions and qualities of governance hold any relationship regarding the overall size of the domestic equity market.The results of the implemented regression analysis, indicate a negative correlation between qualities of governance and average stock market returns; however as affirmed in the hypothesis, quality of governance is also associated with an inverse relationship in the variability of returns, implying that higher levels of governance are associated with more stable returns. Lastly, the statistical models presented in this thesis indicate that larger equity market capitalizations as a percentage of GDP are also associated with states maintaining higher levels of governance. |
| Supervisor | Von Daniels, Laura |
| Department | Political Science MA |
| Full text | https://www.etd.ceu.edu/2013/huszar_christopher.pdf |
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