美国总统和中期选举期间各资产类别的市场波动

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-15 DOI:10.1016/j.frl.2025.107754

Corrado Botta , Rilwan Sakariyahu

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引用次数: 0

摘要

围绕选举的政治不确定性会转化为可衡量的市场影响吗？本研究考察了1992年至2024年美国总统大选对不同资产类别市场波动的影响。使用事件研究方法，我们记录了选举前几个月和选举周的高异常波动，以及选举前几周和选举月份的低异常波动。不同资产类别的影响差异很大，在衰退期间会被放大。我们研究了多种选举特征，发现政治两极分化，现任地位，政党变化，选举差额和国际紧张局势的重要作用。

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Market volatility across asset classes during U.S. presidential and mid-term elections

Does political uncertainty around elections translate to measurable market effects? This study investigates the impact of the U.S. presidential election on market volatility across different asset classes from 1992 to 2024. Using an event study approach, we document high abnormal volatility in pre-election months and during election weeks and low abnormal volatility in pre-election weeks and election months. The effects vary substantially across asset classes and are amplified during recessions. We examine multiple election characteristics, finding significant roles for political polarization, incumbent status, party changes, election margin, and international tensions.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance