Divided governments and futures prices

被引：3

作者：

Sojli, Elvira ^{[1
,2
]}

Tham, Wing Wah ^{[1
,3
]}

机构：

[1] Erasmus Univ, Rotterdam, Netherlands

[2] Duisenberg Sch Finance, Duisenberg, Netherlands

[3] Tinbergen Inst, Tinbergen, Netherlands

来源：

JOURNAL OF ECONOMETRICS | 2015年 / 187卷 / 02期

关键词：

Divided government; Elections; Expected returns; Policy uncertainty; Prediction markets; PREDICTION MARKETS; ELECTIONS; STATES; POLICY;

D O I：

10.1016/j.jeconom.2015.02.043

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the effect of divided governments on asset prices. For identification, we use changes in the implied probability of a divided government while votes are being counted. Using high frequency data from the betting market and US overnight futures market, we estimate a 1.4% decrease in the S&P 500 futures in the election event of a divided government. Results are similar for the 2010 UK election. Further analysis shows that divided government affects expected stock returns through the mechanism of policy uncertainty. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：622 / 633

页数：12

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