Browsing by Author "Gray, Christian"

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    Political Risk & Capital Flight - Case Study of the Ukrainian Crisis
    (2019-02-15) Gray, Christian; Talic, Saud; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
    This paper examines the economic impact several events of political risk have on components of capital flight Ukraine and capital flight of Ukraine itself. The events of political risk are the Euromaidan revolution, the Russian annexation of Crimea and the war in the region of Donbass. By utilizing OLS regression techniques this paper estimates capital flight of Ukraine in relation to four economic variables that constitute the World Bank capital flight residual method (1985): changes to external debt, net foreign inflow, current account deficit and changes to reserve assets. The results show that the effect of the Euromaidan revolution, the annexation of the Crimean pen insula and the war in the region of Donbass had a significant reversal of capital flight.
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    The Relationship Between Idiosyncratic Volatility and Portfolio Return within Swedish Stock Markets.
    (2022-06-29) Gray, Christian; Sousa, Ricardo; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    Main results suggest there is a statistically and economically significant positive relationship between idiosyncratic volatility and portfolio return within the Swedish stock markets. This relationship is detected despite the low idiosyncratic volatility climate of Sweden. This is surprisingly true in the case of applying the methodology of Ang, Hodrick, Xing, and Zhang (2006), where a negative relationship was expected and not found. This is also true in the case of applying the exponential GARCH methodology of Fu (2009), where a positive relationship was expected and found, consistent with traditional theory. The key difference between the methods—ignoring the time-varying property of idiosyncratic volatility—leads to an overestimation of portfolio return. We demonstrate that the main results are sensitive to weighting-scheme, market specification, and chosen asset pricing model.