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Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima

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Author Info

  • Gabriel Rodríguez

    ()
    (Pontificia Universidad Católica del Perú)

  • Alfredo Vargas

Abstract

El presente documento analiza el impacto de las expectativas políticas (medida como la probabilidad de que un candidato gane las elecciones) sobre los retornos del índice general de la Bolsa de Valores de Lima (IGBVL) utilizando información para los períodos electorales de 1995 y 2000. La hipótesis a verificar es si el grado de incertidumbre sobre el resultado de las elecciones presidenciales afecta los retornos del IGBVL. Se usan otras variables explicativas como el tipo de cambio, la inflación, y los términos de intercambio. Los resultados muestran que para el primer período de análisis (1995) la probabilidad de que el candidato Fujimori gane las elecciones tuvo un signo positivo sobre el rendimiento del IGBVL mientras que para el período 2000, el signo de dicha variable cambia, siendo en ambos casos estadísticamente significativos.

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File URL: http://revistas.pucp.edu.pe/index.php/economia/article/view/3843/3818
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Bibliographic Info

Article provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its journal Revista Economia.

Volume (Year): 35 (2012)
Issue (Month): 70 ()
Pages: 190-223

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Handle: RePEc:pcp:pucrev:y:2012:i:70:p:190-223

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Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
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Web page: http://www.pucp.edu.pe/departamento/economia/
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Related research

Keywords: expectativas políticas; entropía; elecciones políticas; retornos; IGBVL.;

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  1. Roland Füss & Michael Bechtel, 2008. "Partisan politics and stock market performance: The effect of expected government partisanship on stock returns in the 2002 German federal election," Public Choice, Springer, vol. 135(3), pages 131-150, June.
  2. Dopke, Jorg & Pierdzioch, Christian, 2006. "Politics and the stock market: Evidence from Germany," European Journal of Political Economy, Elsevier, vol. 22(4), pages 925-943, December.
  3. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006. "Political Orientation of Government and Stock Market Returns," Working Paper Series 2006,9, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  4. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
  5. Alfredo Dammert & Raúl García, 2009. "Los Jones quieren casa nueva. Cómo entender la nueva crisis económica mundial," Libros PUCP, Departamento de Economía - Pontificia Universidad Católica del Perú, number lde-2009-01.
  6. Andrew C. Worthington, 2009. "Political Cycles in the Australian Stock Market since Federation," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 42(4), pages 397-409.
  7. Firouz Fallahi & Gabriel Rodríguez, 2011. "Convergence In The Canadian Provinces: Evidence Using Unemployment Rates," Documentos de Trabajo 2011-322, Departamento de Economía - Pontificia Universidad Católica del Perú.
  8. Juan Carlos Aquino & Gabriel Rodríguez, 2013. "Understanding the functional central limit theorems with some applications to unit root testing with structural change," Revista Economía, Departamento de Economía - Pontificia Universidad Católica del Perú, vol. 36(71), pages 107-149.
  9. Douglas A. Hibbs, 1994. "The Partisan Model Of Macroeconomic Cycles: More Theory And Evidence For The United States," Economics and Politics, Wiley Blackwell, vol. 6(1), pages 1-23, 03.
  10. Adolfo Figueroa, 2008. "Nuestro mundo social: introducción a la ciencia económica," Libros PUCP, Departamento de Economía - Pontificia Universidad Católica del Perú, edition 1, number lde-2008-05.
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