Title

Politics, stock markets, and model uncertainty

Source of Publication

Empirical Economics

Abstract

The available evidence on the effects of political variables on both returns and volatility of aggregate stock indices is scant and mixed. Applying Bayesian Model Averaging to a panel dataset of 17 parliamentary democracies spanning the post-war period until 1995, we test the robustness of political variables in explaining stock returns and stock return volatility. While we find that the influence of political variables on excess returns is weak, there is evidence of some political variables explaining return volatility. © 2012 Springer-Verlag.

Document Type

Article

First Page

23

Last Page

38

Publication Date

1-1-2013

DOI

10.1007/s00181-012-0601-5

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