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Political Cycles in the Australian Stock Market since Federation

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  • Andrew C. Worthington

Abstract

"This article examines the political cycles in Australian stock returns from 1901-2005. The article defines the political cycle in terms of the party in power, ministerial tenure and election information effects. The market variables are returns, excess returns over inflation and excess returns over interest rates. Descriptive analysis suggests differences in the variance of returns under Labor and non-Labor ministries, but no significant differences in mean returns. Using a generalised autoregressive conditional heteroskedastistic-M model, returns are found to be higher only for non-Labor ministries before 1949 and there is no difference in excess returns over inflation or interest throughout the full sample." Copyright (c)2009 The University of Melbourne, Melbourne Institute of Applied Economic and Social Research.

Suggested Citation

  • 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.
  • Handle: RePEc:bla:ausecr:v:42:y:2009:i:4:p:397-409
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    References listed on IDEAS

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    Cited by:

    1. Gabriel Rodríguez & Alfredo Vargas, 2012. "Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 35(70), pages 190-223.
    2. repec:eee:phsmap:v:499:y:2018:i:c:p:413-419 is not listed on IDEAS
    3. Yang, Miao & Jiang, Zhi-Qiang, 2016. "The dynamic correlation between policy uncertainty and stock market returns in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 92-100.

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