Political administration effects and day-of-the-week effects in New Zealand's foreign exchange rate

Stephen P Keef () and Melvin Roush

Applied Financial Economics, 2003, vol. 13, issue 6, pages 401-412

Abstract: This study investigates the presence of political administration effects and day-of-the-week effects with New Zealand's trade-weighted foreign exchange index. The data covers six administrations during the period March 1985 to November 2000. The analysis, based on an orthogonal design, shows that changes in the index did not differ between Labour Party administrations and National Party (Conservative) administrations. One day-of-the-week effect, consistent with the settlement regime hypothesis, is observed. This effect, which differs between the two political administrations, disappears when the data is trimmed to ameliorate the impact of fat tails. The implication is that the effect is merely a reflection of the extreme cases.

Date: 2003
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100210135225 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apfiec:v:13:y:2003:i:6:p:401-412

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.asp

Access Statistics for this article

Applied Financial Economics is edited by Mark P. Taylor

More articles in Applied Financial Economics from Taylor and Francis Journals
Series data maintained by Michael McNulty ().