Mapping US presidential terms with S&P500 index: Time series analysis approach
Luis A. Gil‐Alana,
Olaoluwa Yaya (),
Kazeem A. Osuolale and
Ahamuefula Ogbonna ()
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana ()
International Journal of Finance & Economics, 2021, vol. 26, issue 2, 1938-1954
This paper maps the US presidential terms with price dynamics in US stock markets by focusing on the S&P500 index. Fractional integration techniques, which are more general than other standard methods, are used and the results obtained produce interesting findings. It was found that during the second presidential terms, S&P500 stock market is less efficient and present higher degrees of persistence in its volatility. This is observed independently of the political affiliations of the president in power. The volatility, in general, reflects the spillover of economic excesses at the end of the first presidential term when seeking re‐election into the second term in office. Expansionary monetary and fiscal policies at the end of the first term may create disequilibria in the economy which are amplified in the second term through a transmission mechanism resulting in contractionary interventionist policies in a situation where no incentive for re‐election exists by the incumbent. The existence of stock's price cycles as induced by US presidential terms contradicts market efficiency theory but this helps investors decisions.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().