Politics, stock markets, and model uncertainty

Kerim Arin, Alexander Molchanov () and Otto Reich ()

Empirical Economics, 2013, vol. 45, issue 1, 23-38

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. Copyright Springer-Verlag 2013

Keywords: Panel BMA; Excess returns; Stock market volatility; C11; G11; G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00181-012-0601-5

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