Recurring strikes heightened political risk in South Africa. Industrial action, particularly in the mining industry, has hit the outlook for business in the country by affecting immediate output and resulting in higher wages, which raise costs.
It has been a tumultuous year for emerging markets – which, until recently, had benefited from stimulus measures like record-low interest rates and the U.S. Federal Reserve's massive bond-buying program.
Quantitative easing on this scale boosted risk sentiment, causing investors to turn their back on so-called "safe havens" and pile into assets seen as riskier, such as emerging market stocks, bonds and currencies.
When the Fed began tapering off its bond-buying program in January, concerns about an outflow of funds from emerging markets hit their currencies hard.
Not everyone is downbeat on emerging markets, however. Last week, economist and former chairman of Goldman Sachs Asset Management Jim O'Neill told CNBC that emerging markets were in pretty good shape at the start of the second quarter.
O'Neill – who first coined the term BRIC in 2001 – added that if there was a global bull market this year, it would be led by larger emerging markets - and China in particular.
But Aon warned that as economic recoveries took hold in developed markets, and interest rates returned to more normal levels, capital would be pulled out of emerging markets.
"This adds pressure to countries with weak external balances," the report said.
Read MoreGlobal risk shifts to emerging markets: IMF
It warned that one result of a drop-off in foreign direct investment could be the introduction of measures to retain capital, "that will impede transfers of funds/repatriation of assets."
The IMF also warned that risks could arise from the "unexpectedly rapid" normalization of U.S. monetary policy. It cut its emerging market growth forecast to 4.9 percent for this year and 5.3 percent for 2015 on Tuesday. Its forecast was down by 0.2 percent for 2014 and 0.1 percent for 2015 from its previous report in January.
Aon, which looked at the political risk in 163 countries and territories, analysed exposure to factors including legal and regulatory risk, political interference, political violence and the introduction of capital-retention measures.