Quality & Quantity

, Volume 45, Issue 6, pp 1361–1367

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

  • Yi-Hsien Wang
  • Jui-Cheng Hung
  • Hsiu-Hsueh Kao
  • Kuang-Hsun Shih
Article

DOI: 10.1007/s11135-010-9340-x

Cite this article as:
Wang, YH., Hung, JC., Kao, HH. et al. Qual Quant (2011) 45: 1361. doi:10.1007/s11135-010-9340-x

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 

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Copyright information

© Springer Science+Business Media B.V. 2010

Authors and Affiliations

  • Yi-Hsien Wang
    • 1
  • Jui-Cheng Hung
    • 1
  • Hsiu-Hsueh Kao
    • 2
  • Kuang-Hsun Shih
    • 1
  1. 1.Department of Banking and FinanceChinese Culture UniversityTaipeiTaiwan, Republic of China
  2. 2.Department of FinanceYuanpei UniversityHsin ChuTaiwan, Republic of China

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