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Political Cycles in the Australian Stock Market since Federation
Author(s) -
Worthington Andrew C.
Publication year - 2009
Publication title -
australian economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.308
H-Index - 29
eISSN - 1467-8462
pISSN - 0004-9018
DOI - 10.1111/j.1467-8462.2009.00558.x
Subject(s) - economics , stock (firearms) , excess return , inflation (cosmology) , stock market , autoregressive model , financial economics , politics , interest rate , conditional variance , econometrics , monetary economics , volatility (finance) , political science , autoregressive conditional heteroskedasticity , context (archaeology) , physics , theoretical physics , law , mechanical engineering , paleontology , horse , engineering , biology
This article examines the political cycles in Australian stock returns from 1901–2005. The article defines the political cycle in terms of the party in power, ministerial tenure and election information effects. The market variables are returns, excess returns over inflation and excess returns over interest rates. Descriptive analysis suggests differences in the variance of returns under Labor and non‐Labor ministries, but no significant differences in mean returns. Using a generalised autoregressive conditional heteroskedastistic‐M model, returns are found to be higher only for non‐Labor ministries before 1949 and there is no difference in excess returns over inflation or interest throughout the full sample.