意外的价格:选举结果对股市回报和波动性的影响

IF 7.6 1区经济学 Q1 ECONOMICS

Review of Economics and Statistics Pub Date : 2022-11-01 DOI:10.1515/roe-2022-0039

K. Arin, Suzanna Elmassah, Samuel Kaplan, Nicola Spagnolo

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引用次数: 0

摘要

本文利用1972-2018年24个民主国家的新数据集，研究了包括选举意外在内的选举结果是如何被股市定价的。结果表明，选举意外增加了波动性，但对超额收益没有显著影响。选举前宣布的联盟获胜会减少波动性，然而，联盟内领先政党的高胜率会减少超额回报。领先政党意外领先于最接近的竞争对手，通过巩固权力减少了动荡，但仅限于议会选举。获胜方的政党取向既不影响超额回报，也不影响波动性，即使它是出乎意料的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility

Abstract By utilizing a novel data set of 24 democracies for the 1972–2018 period, we investigate how election outcomes, including election surprises, are priced by the stock market. We show that an election surprise increases volatility but has no significant effect on excess returns. A win by a coalition announced prior to the election decreases volatility, however, a large winning percentage for the lead party within the coalition decreases excess returns. An unexpected winning margin over the closest competitor by the lead party decreases volatility by consolidating power, but only in parliamentary elections. Party orientation for the winning party affects neither excess returns nor volatility, even if it is unexpected.

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来源期刊

Review of Economics and Statistics Multiple-

CiteScore

8.50

自引率

0.00%

发文量

175

期刊介绍： The Review of Economics and Statistics is a 100-year-old general journal of applied (especially quantitative) economics. Edited at the Harvard Kennedy School, the Review has published some of the most important articles in empirical economics.