Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/70673
標題: Mapping the Presidential Election Cycle in US stock markets
作者: Wong, W.K.
McAleer, M.
關鍵字: Presidential Election Cycle
Spectral analysis
EGARCH Intervention
model
Stock prices
Returns
momentum strategies
stochastic-dominance
monetary-policy
business-cycle
returns
volatility
profitability
behavior
prices
models
期刊/報告no:: Mathematics and Computers in Simulation, Volume 79, Issue 11, Page(s) 3267-3277.
摘要: This paper shows that in the almost four decades from January 1965 through to December 2003, US stock prices closely followed the 4-year Presidential Election Cycle. In general, stock prices fell during the first half of a Presidency, reached a trough in the second year, rose during the second half of a Presidency, and reached a peak in the third or fourth year. This cyclical trend is found to hold for the greater part of the last ten administrations, starting from President Lyndon Johnson to the administration of President George W. Bush, particularly when the incumbent is a Republican. The empirical results suggest that the Republican Party may have greater Cause to engage in active policy manipulation to win re-election than their Democratic counterparts. There is irony in that bullish runs in the stock market have tended to coincide with sub-periods under Democratic administrations. The existence of the Presidential Election Cycle shown in the paper may constitute an anomaly in the US stock market, which could be useful for investors. (C) 2009 IMACS. Published by Elsevier B.V. All rights reserved.
URI: http://hdl.handle.net/11455/70673
ISSN: 0378-4754
文章連結: http://dx.doi.org/10.1016/j.matcom.2009.05.007
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