کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5056407 | 1371631 | 2015 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study applies the bootstrap panel causality test proposed by Kónya (2006. Econ Modell 23, 978) to investigate the causal link between political uncertainty and stock prices for seven OECD countries over the monthly period of 2001.01 to 2013.04. This modeling approach allows us to examine both cross-sectional dependency and country-specific heterogeneity. Our empirical results indicate that not all the countries are alike and that the theoretical prediction that stock prices fall at the announcement of a policy change is not always supported. Specifically, we find evidence for the stock price leading hypothesis for Italy and Spain, while the political uncertainty leading hypothesis cannot be rejected for the United Kingdom and the United States. In addition, the neutrality hypothesis was supported in the remaining three countries (Canada, France and Germany), while no evidence for the feedback hypothesis was found.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Systems - Volume 39, Issue 2, June 2015, Pages 288-300
Journal: Economic Systems - Volume 39, Issue 2, June 2015, Pages 288-300
نویسندگان
Tsangyao Chang, Wen-Yi Chen, Rangan Gupta, Duc Khuong Nguyen,