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Long-term relationship between political behavior and stock market return: new evidence from quantile regression

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  • Yi-Hsien Wang

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  • Jui-Cheng Hung
  • Hsiu-Hsueh Kao
  • Kuang-Hsun Shih
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11135-010-9340-x
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    Bibliographic Info

    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 45 (2011)
    Issue (Month): 6 (October)
    Pages: 1361-1367

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    Handle: RePEc:spr:qualqt:v:45:y:2011:i:6:p:1361-1367

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    Web page: http://www.springer.com/economics/journal/11135

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    Related research

    Keywords: Congressional effect; Quantile regression; Political behavior;

    References

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    1. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
    2. Lamb, Reinhold P. & Ma, K. C. & Daniel Pace, R. & Kennedy, William F., 1997. "The congressional calendar and stock market performance," Financial Services Review, Elsevier, vol. 6(1), pages 19-25.
    3. Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
    4. Joop Hartog & Pedro T. Pereira & José A.C. Vieira, 1999. "Changing Returns to Education in Portugal during the 1980s and Early 1990s: OLS and quantile regression estimators," Tinbergen Institute Discussion Papers 99-002/3, Tinbergen Institute.
    5. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
    6. Michael C. Herron & James Lavin & Donald Cram & Jay Silver, 1999. "Measurement of Political Effects in the United States Economy: A Study of the 1992 Presidential Election," Economics and Politics, Wiley Blackwell, vol. 11(1), pages 51-81, 03.
    7. Pedro Santa-Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
    8. Vieira, Jose A. C., 1999. "Returns to education in Portugal," Labour Economics, Elsevier, vol. 6(4), pages 535-541, November.
    9. Clark, Ephraim, 1997. "Valuing political risk," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 477-490, June.
    10. Kim, Harold Y. & Mei, Jianping P., 2001. "What makes the stock market jump? An analysis of political risk on Hong Kong stock returns," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 1003-1016, December.
    11. Lobo, Bento J., 1999. "Jump risk in the U.S. stock market: Evidence using political information," Review of Financial Economics, Elsevier, vol. 8(2), pages 149-163.
    12. Niederhoffer, Victor, 1971. "The Analysis of World Events and Stock Prices," The Journal of Business, University of Chicago Press, vol. 44(2), pages 193-219, April.
    13. Chen, Chien-Liang & Kuan, Chung-Ming & Lin, Chu-Chia, 2007. "Saving and housing of Taiwanese households: New evidence from quantile regression analyses," Journal of Housing Economics, Elsevier, vol. 16(2), pages 102-126, June.
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