An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities

Chin-Tsai Lin () and Yi-Hsien Wang ()
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Chin-Tsai Lin: Graduate School of Management, Ming Chuan University
Yi-Hsien Wang: Graduate School of Management, Ming Chuan University

Annals of Economics and Finance, 2005, vol. 6, issue 1, 169-183

Abstract: This paper examines whether there exists the effect of party alternative on Nikkei 225 stock behavior by the asymmetric GARCH model. The empirical work finds that the transition of ruling party effect is not a crucial variable to Nikkei 225 returns and volatility. Japanese feel apathy and alienation about political environment result in the succession of prime ministers does not influence the Japanese stock market behavior. Therefore, resigned previous prime ministers have become scapegoats for the poor performance of financial and economic policies.

Keywords: Party alternative; Volatility asymmetry; Scapegoating; EGARCH (search for similar items in EconPapers)
JEL-codes: C20 G10 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2005:v:6:i:1:p:169-183

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