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Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima

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  • Gabriel Rodríguez

    ()
    (Departamento de Economía - Pontificia Universidad Católica del Perú)

  • Alfredo Vargas

Abstract

El presente documento analiza el impacto de las expectativas políticas sobre los retornos del índice general de la Bolsa de Valores de Lima (IGBVL) utilizando información para los periodos electorales de 1995 y 2000. La variable explicativa principal es una medida de la probabilidad de que un candidato gane las elecciones. Así, la hipótesis a veri?car es si el grado de incertidumbre sobre las el resultado de las elecciones presidenciales afecta los retornos del IGBVL. Se usan otras variables explicativas como el tipo de cambio, in?ación, términos de intercambio. Los resultados muestran que para el primer periodo de análisis (1995) la probabilidad de que el candidato Fujimori gane las elecciones tuvo un signo positivo sobre el rendimiento del IGBVL. Por el contrario, en el periodo 2000,el signo de dicha variable cambia de signo denotando el desgaste político de dicho candidato sumado a las evidencias de corrupción encontradas por aquellos momentos. Los resultados muestran también la importancia de otras variables macroeconómicas en las estimaciones.

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Bibliographic Info

Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2011-323.

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Length: pages
Date of creation: 2011
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Publication status: published
Handle: RePEc:pcp:pucwps:wp00323

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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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Keywords: Expectativas Políticas; Entropía; Elecciones Políticas; Retornos; IGBVL;

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  1. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Political orientation of government and stock market returns," MPRA Paper 307, University Library of Munich, Germany, revised Nov 2006.
  2. 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, October.
  3. 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.
  4. 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.
  5. 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, October.
  6. Juan Carlos Aquino & Gabriel Rodríguez, 2011. "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo 2011-319, Departamento de Economía - Pontificia Universidad Católica del Perú.
  7. 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.
  8. 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.
  9. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
  10. 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.
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