Abstract:

The country risk is determined by taking into account the variables in the concepts of economic, financial and political risk. The additional return and/or reward of the risk that the investor takes by investing in shares that are more variable than the bond and treasury bond revenues is defined as the shares’ risk premium that is necessary to meet these presumed risks. In this study, based on the importance of the stock risk premium in both the country’s total risk and the importance of investment decisions, the aim is to identify the factors affecting a country’s stock risk premium. Therefore, an econometric application for the BRICS-T countries has studied the impact of the economic, financial and political risk elements on the country’s shareholding risk premiums. As a result, on the stock risk premium, the BRICS-T found that the financial risk was more effective based on both the Panel FMOLS test results and the Panel DOLS test results.