Politics, Stock Markets, and Model Uncertainty

Author First name, Last name, Institution

K. Peren Arin, Zayed UniversityFollow
Alexander Molchanov, Massey University Auckland
Otto F.M. Reich, Massey University Auckland

Document Type

Article

Source of Publication

Empirical Economics

Publication Date

1-1-2013

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.

DOI Link

10.1007/s00181-012-0601-5

ISSN

0377-7332

Publisher

Springer Verlag

Volume

45

Issue

1

First Page

23

Last Page

38

Disciplines

Business

Keywords

Excess returns, Panel BMA, Stock market volatility

Scopus ID

84880843355

Recommended Citation

Arin, K. Peren; Molchanov, Alexander; and Reich, Otto F.M., "Politics, Stock Markets, and Model Uncertainty" (2013). All Works. 2709.
https://zuscholars.zu.ac.ae/works/2709

Indexed in Scopus

yes

Open Access

no