US government shutdowns and Indonesian stock market

Dat Nguyen, Dinh Phan (), Reza Anglingkusumo and Aryo Sasongko

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: Using a dataset ranging from 1983 to 2018, we examine the effect of US government shutdowns on Indonesian stock index excess returns. Our analysis shows that these shutdowns exert positive effects on Indonesian stock market index excess returns, and these effects take place only on one day. Furthermore, we show that the effects of US government shutdowns are heterogenous at industry and firm levels. Our main analysis survives a range of robustness tests, including controlling for financial crises, controlling for day-of-the-week effect and using alternative stock return measures.

Keywords: Government shutdown; Stock return; Emerging market; Financial crisis; Day-of-the-week effect (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000287

DOI: 10.1016/j.pacfin.2021.101521

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