Empirical analysis of political uncertainty on TAIEX stock market
AbstractThis article examines the relationship of between political activity and TAIEX stock market behaviour by the asymmetric GARCH. The results found that the congressional effect is negative on stock returns but volatility is not significant. The congressional effect on stock market returns following financial reform significantly dropped before financial reform, and significantly exceed for the volatility in the same circumstances. These results provide evidences that investors would hold a conservative position during the congressional sessions.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 15 (2008)
Issue (Month): 7 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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