Arin, K. Peren
[Verfasser:in]
;
Molchanov, Alexander
[Sonstige Person, Familie und Körperschaft];
Reich, Otto F.
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 11, 2011 erstellt
Beschreibung:
To the surprise of, in all likelihood, not only business journalists, the available evidence on the effects of political variables on both stock returns and volatility is scant and mixed. We investigate whether this weak and conflicting evidence may be due to limited sample sizes and too narrow a view of what constitutes politically relevant variables. We do so by analyzing a novel data set of political variables for 17 parliamentary democracies covering roughly the post-war period. The richness of the data set raises the issue of model uncertainty which we address with Bayesian Model Averaging. Our results show that the case for effects of political events on stock market volatility is stronger than the case for effects on stock market returns