Presidential cycles and time-varying bond-stock market correlations: Evidence from more than two centuries of data

被引：11

作者：

Demirer, Riza ^{[1
]}

Gupta, Rangan ^{[2
]}

机构：

[1] Southern Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA

[2] Univ Pretoria, Dept Econ, Pretoria, South Africa

来源：

ECONOMICS LETTERS | 2018年 / 167卷

关键词：

Conditional correlation; GARCH; Bond and stock returns comovement; US presidential cycles; MODELS;

D O I：

10.1016/j.econlet.2018.03.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Utilizing a DCC-GARCH model to capture time-varying correlations, we show that Democratic administrations are generally associated with lower degree of co-movement between the stock and government bond returns. The findings are in line with the documented presidential cycle effect on stock market returns and corroborate recent evidence that, when risk aversion is high, agents tend to elect the Democratic Party. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：36 / 39

页数：4

共 50 条

[1] The bond-stock mix under time-varying interest rates and predictable stock returns
Leirvik, Thomas
[J]. FINANCE RESEARCH LETTERS, 2014, 11 (03) : 231 - 237
[2] Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey
Polat, Onur
[J]. BORSA ISTANBUL REVIEW, 2020, 20 (03) : 236 - 243
[3] Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data
Bhattacharya, Mousumi
Bhattacharya, Sharad Nath
Jha, Sumit Kumar
[J]. AUSTRALIAN JOURNAL OF MANAGEMENT, 2022, 47 (02) : 251 - 272
[4] Time-varying market integration and stock and bond return concordance in emerging markets
Panchenko, Valentyn
Wu, Eliza
[J]. JOURNAL OF BANKING & FINANCE, 2009, 33 (06) : 1014 - 1021
[5] Oil prices and the green bond market: Evidence from time-varying and quantile-varying aspects
Wang, Kai-Hua
Su, Chi-Wei
Umar, Muhammad
Peculea, Adelina Dumitrescu
[J]. BORSA ISTANBUL REVIEW, 2023, 23 (02) : 516 - 526
[6] Time-varying risk spillovers in Chinese stock market-New evidence from high-frequency data
Zhou, Dong-hai
Liu, Xiao-xing
Tang, Chun
Yang, Guang-yi
[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2023, 64
[7] TIME-VARYING IMPACTS OF MACROECONOMIC VARIABLES ON STOCK MARKET RETURNS AND VOLATILITY: EVIDENCE FROM PAKISTAN
Rashid, Abdul
Javed, Aamir
Jehan, Zainab
Iqbal, Uzma
[J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2022, 25 (03): : 144 - 166
[8] Time-varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data
Coronado, Semei
Gupta, Rangan
Nazlioglu, Saban
Rojas, Omar
[J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (03) : 2239 - 2247
[9] Pricing of time-varying liquidity risk in Finnish stock market: new evidence
Ahmed, Sheraz
Hirvonen, Jani
Hussain, Syed Mujahid
[J]. EUROPEAN JOURNAL OF FINANCE, 2019, 25 (13): : 1147 - 1165
[10] Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data
Kanda, Patrick
Burke, Michael
Gupta, Rangan
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 506 : 1060 - 1080

← 1 2 3 4 5 →