Article

Quality & Quantity

, Volume 45, Issue 6, pp 1361-1367

First online:

Long-term relationship between political behavior and stock market return: new evidence from quantile regression

  • Yi-Hsien WangAffiliated withDepartment of Banking and Finance, Chinese Culture University Email author 
  • , Jui-Cheng HungAffiliated withDepartment of Banking and Finance, Chinese Culture University
  • , Hsiu-Hsueh KaoAffiliated withDepartment of Finance, Yuanpei University
  • , Kuang-Hsun ShihAffiliated withDepartment of Banking and Finance, Chinese Culture University

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Abstract

The stock market is an extremely sensitive and comprehensive indicator of the fluctuating political climate as well as investor confidence. Therefore, in an era of fierce media competition, the long-term influence of political behaviors on the Taiwan stock market is an important issue. However, the traditional regression model can only describe the “average” influence of variables on rate of return rather than completely describe conditional distribution as in quantile regression, which also analyzes correlations between stock return and the congressional effect.

Keywords

Congressional effect Quantile regression Political behavior