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Statistical Analysis of Political Cycles in Australian Stock Market Returns

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Modeling Dependence in Econometrics

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 251))

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Abstract

Political cycles in the Australian stock market from January 1901 to July 2011 are analysed through econometric volatility models. The stochastic volatility model with a skew t distribution for return and a Student-t distribution for volatility is proposed for analysis, estimated via Bayesian techniques. Evidence from the full period shows higher return under non-Labor governments while there is little evidence of election or length-of-term effects on market return. If we split the data before and after World War II, political cycles are non-existent. There is however clear evidence of positive skewness of returns before the war compared to negative skewness otherwise.

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Authors and Affiliations

  1. Discipline of Business Analytics, The University of Sydney, Sydney, Australia

    S. T. Boris Choy & Celestine M. Bond

Authors
  1. S. T. Boris Choy
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  2. Celestine M. Bond
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Corresponding author

Correspondence to S. T. Boris Choy .

Editor information

Editors and Affiliations

  1. APAN Advanced Institute of Science and Technology, Ishikawa, Japan

    Van-Nam Huynh

  2. Department of Computer Science, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  3. Faculty of Economics, Chiangmai University, Chiangmai, Thailand

    Songsak Sriboonchitta

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© 2014 Springer International Publishing Switzerland

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Choy, S.T.B., Bond, C.M. (2014). Statistical Analysis of Political Cycles in Australian Stock Market Returns. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S. (eds) Modeling Dependence in Econometrics. Advances in Intelligent Systems and Computing, vol 251. Springer, Cham. https://doi.org/10.1007/978-3-319-03395-2_20

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  • DOI: https://doi.org/10.1007/978-3-319-03395-2_20

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-03394-5

  • Online ISBN: 978-3-319-03395-2

  • eBook Packages: EngineeringEngineering (R0)

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