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An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities

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  • Chin-Tsai Lin

    ()
    (Graduate School of Management, Ming Chuan University)

  • Yi-Hsien Wang

    ()
    (Graduate School of Management, Ming Chuan University)

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    Abstract

    This paper examines whether there exists the effect of party alternative on Nikkei 225 stock behavior by the asymmetric GARCH model. The empirical work finds that the transition of ruling party effect is not a crucial variable to Nikkei 225 returns and volatility. Japanese feel apathy and alienation about political environment result in the succession of prime ministers does not influence the Japanese stock market behavior. Therefore, resigned previous prime ministers have become scapegoats for the poor performance of financial and economic policies.

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    Bibliographic Info

    Article provided by Society for AEF in its journal Annals of Economics and Finance.

    Volume (Year): 6 (2005)
    Issue (Month): 1 (May)
    Pages: 169-183

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    Handle: RePEc:cuf:journl:y:2005:v:6:i:1:p:169-183

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    Related research

    Keywords: Party alternative; Volatility asymmetry; Scapegoating; EGARCH;

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