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Empirical analysis of political uncertainty on TAIEX stock market

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  • Yi-Hsien Wang
  • Chin-Tsai Lin

Abstract

This 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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  • Yi-Hsien Wang & Chin-Tsai Lin, 2008. "Empirical analysis of political uncertainty on TAIEX stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 15(7), pages 545-550.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:7:p:545-550
    DOI: 10.1080/13504850600592507
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    1. Cho-Min Lin & Yen-Hsien Lee & Chien-Liang Chiu, 2010. "Friends or enemies? Foreign investors in Taiwan," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 977-982.
    2. Yaser Abolghasemi & Stanko Dimitrov, 2021. "Determining the causality between U.S. presidential prediction markets and global financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4534-4556, July.

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