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Parties, Elections And Stock Market Volatility: Evidence From A Small Open Economy

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  • FOTIOS SIOKIS
  • PANAYOTIS KAPOPOULOS

Abstract

This paper examines whether movements in the stock prices on the Athens stock exchange can be partly explained by the dynamics of the political environment. On the basis of a partisan structure, with two main political parties and a high density of elections, we find that the conditional mean and variance of the stock market index are affected by political developments in Greece. In particular, we find that different political regimes affect the conditional variance of the stock market index, and also that the stock market index is asymmetrically affected by past innovations. Copyright 2007 Blackwell Publishing Ltd..

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  • Fotios Siokis & Panayotis Kapopoulos, 2007. "Parties, Elections And Stock Market Volatility: Evidence From A Small Open Economy," Economics and Politics, Wiley Blackwell, vol. 19(1), pages 123-134, March.
  • Handle: RePEc:bla:ecopol:v:19:y:2007:i:1:p:123-134
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    Cited by:

    1. CĂLIN, Adrian Cantemir, 2015. "Connection Of European Economic Growth With The Dynamics Of Volatility Of Stock Market Returns," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", pages 53-66.
    2. Julia Darby & Graeme Roy, 2017. "Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum," Working Papers 1706, University of Strathclyde Business School, Department of Economics.
    3. Michael M. Bechtel & Roland Füss, 2010. "Capitalizing on Partisan Politics? The Political Economy of Sector-Specific Redistribution in Germany," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 203-235, March.
    4. K. Arin & Alexander Molchanov & Otto Reich, 2013. "Politics, stock markets, and model uncertainty," Empirical Economics, Springer, pages 23-38.
    5. Kollias Christos & Papadamou Stephanos & Psarianos Iacovos, 2014. "Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 20(2), pages 1-26, April.
    6. Nai-Chiek Aik & Kean-Kok Ng, 2015. "Excessive volatility in Asia stock market around general election (GE) period," Asian Journal of Empirical Research, Asian Economic and Social Society, pages 160-166.
    7. repec:gig:joupla:v:2:y:2010:i:1:p:31-51 is not listed on IDEAS

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