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Political Cycles in the Australian Stock Market since Federation

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  • Andrew C. Worthington

Abstract

"This article examines the political cycles in Australian stock returns from 1901-2005. The article defines the political cycle in terms of the party in power, ministerial tenure and election information effects. The market variables are returns, excess returns over inflation and excess returns over interest rates. Descriptive analysis suggests differences in the variance of returns under Labor and non-Labor ministries, but no significant differences in mean returns. Using a generalised autoregressive conditional heteroskedastistic-M model, returns are found to be higher only for non-Labor ministries before 1949 and there is no difference in excess returns over inflation or interest throughout the full sample." Copyright (c)2009 The University of Melbourne, Melbourne Institute of Applied Economic and Social Research.

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Bibliographic Info

Article provided by The University of Melbourne, Melbourne Institute of Applied Economic and Social Research in its journal Australian Economic Review.

Volume (Year): 42 (2009)
Issue (Month): 4 ()
Pages: 397-409

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Handle: RePEc:bla:ausecr:v:42:y:2009:i:4:p:397-409

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Cited by:
  1. Gabriel Rodríguez & Alfredo Vargas, 2011. "Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima," Documentos de Trabajo 2011-323, Departamento de Economía - Pontificia Universidad Católica del Perú.

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