 Political Cycles in the United States and Stock Market Volatility in other Advanced Economies: An EGARCH ApproachAkhona Myataza () and
Rangan Gupta
No 201878, Working Papers from University of Pretoria, Department of Economics Abstract: This study investigates U.S. political cycles and the impact, thereof on stock market volatility in advanced economies (Canada, France, Germany, Italy, Japan, Switzerland and the U.K.) using monthly data over the period January 1921 to December 2017. Overall, the results indicate that the type (Democratic or Republican) of presidential administration does play a role in the behaviour of stock returns, and volatility, but the results and direction of the impact are sample specific. In general, the results tend to suggest an increase in returns and volatility of other stock markets when there is a democratic government in the U.S. This study suggests that there is a need for market participants to start analysing the trajectory of a certain election, beginning at the proposed event window, in order to manage their risks and be at a stable position during these periods of uncertainties. Keywords: US Political Cycles; stock returns and volatility; advanced economies; asymmetric GARCH models (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201878 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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