TY - JOUR
T1 - Experience-based corporate corruption and stock market volatility : Evidence from emerging markets
AU - Lau, Chi Keung Marco
AU - Demir, Ender
AU - Bilgin, Mehmet Huseyin
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2013/12/12
Y1 - 2013/12/12
N2 - This paper reassesses how "experience-based" corporate corruption affects stock market volatility in 14 emerging markets. We match the World Bank enterprise-level data on bribes with a unique cross-country macroeconomics dataset obtained from the World Bank development indicators. It is found that wider coverage of "realized" corporate corruption in the emerging markets investigated reduces the stock market volatility, attributed to decrease in uncertainty about government policy with regard to the business environment, as implied by the general equilibrium model of Pastor and Veronesi (2012). Overall, our results suggest that stock price volatility decreases as the uncertainty about government policy becomes more predictable, which is consistent with the testable hypotheses of Pastor and Veronesi (2012).
AB - This paper reassesses how "experience-based" corporate corruption affects stock market volatility in 14 emerging markets. We match the World Bank enterprise-level data on bribes with a unique cross-country macroeconomics dataset obtained from the World Bank development indicators. It is found that wider coverage of "realized" corporate corruption in the emerging markets investigated reduces the stock market volatility, attributed to decrease in uncertainty about government policy with regard to the business environment, as implied by the general equilibrium model of Pastor and Veronesi (2012). Overall, our results suggest that stock price volatility decreases as the uncertainty about government policy becomes more predictable, which is consistent with the testable hypotheses of Pastor and Veronesi (2012).
UR - http://www.scopus.com/inward/record.url?scp=84883000291&partnerID=8YFLogxK
U2 - 10.1016/j.ememar.2013.07.002
DO - 10.1016/j.ememar.2013.07.002
M3 - Article
AN - SCOPUS:84883000291
SN - 1566-0141
VL - 17
SP - 1
EP - 13
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -