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.
Similar content being viewed by others
References
Aggarwal C., Inclan C., Leal R.: Volatility in emerging stock markets. J. Financ. Quant. Anal. 34, 33–55 (1999)
Buchinsky M.: Changes in the U.S. wage structure 1963–1987: application of quantile regression. Econometrica 62, 405–458 (1994)
Buchinsky M.: Recent advances in quantile regression models: a practical guide for empirical research. J. Hum. Resour. 33, 88–126 (1998)
Chamberlain G.: Quantile regression, censoring and the structure of wages. In: Sims, C. (eds) Advance in Econometrics, pp. 171–209. Elsevier, New York (1994)
Chen C.L., Kuan C.M., Lin C.C.: Saving and housing of Taiwanese households: new evidence from quantile regression analyses. J. Hous. Econ. 16, 102–126 (2007)
Clark E.: Valuing political risk. J. Int. Money Financ. 16, 477–490 (1997)
Diamonte R.L., Liew J.M., Stevens R.L.: Political risk in emerging and developed markets. Financ. Anal. J. 52, 75–76 (1996)
Efron B.: The Jackknife, the Bootstrap, and Other Resampling Plans, Number 38 in CBMS-NSF Regional Conference Series in Applies Mathematics. SIAM, Philadelphia (1982)
Gemmill G.: Political risk and market efficiency: tested based in British stock and option markets in the 1987 election. J. Bank. Financ. 16, 211–231 (1992)
Gwilym O.A., Buckle M.: The efficiency of stock and options market: tests based on 1992 UK election polls. Appl. Financ. Econ. 4, 345–354 (1999)
Hartog J., Pereira P., Vieira J.C.: Changing returns to education in Portugal during the 1980’s and early 1990s: OLS and quantile regression estimators. Appl. Econ. 33, 1021–1037 (2001)
Herbst A.F., Slinkman C.W.: Political-economic cycles in the U.S. stock market. Financ. Anal. J. 4, 38–45 (1984)
Herron M.J., Cram L.D., Silver J.: Measurement of political effects in the United States economy: a study of the 1992 Presidential election. Econ. Politics 11, 51–81 (1999)
Kim H.Y., Mei J.P.: What makes the stock market jump? An analysis of political risk on Hong Kong stock returns. J. Int. Money Financ. 20, 1003–1016 (2001)
Koenker R.: Quantile regression. Cambridge University Press, New York (2005)
Koenker R.W., Bassett G.W.: Regression quantiles. Econometrica 46, 33–50 (1978)
Koenker R.W., d’Orey V.: Computing regression quantiles. Appl. Stat. 36, 383–393 (1987)
Koenker R.W., Hallock K.F.: Quantile regression: an introduction. J. Econ. Perspect. 51, 143–156 (2001)
Lamb R.P., Ma K.C., Pace R.D., Kennedy W.F.: The Congressional calendar and stock market performance. Financ. Serv. Rev. 6, 19–25 (1997)
Lin C.T., Wang Y.H.: The impact of party alternative on the stock market: the case of Japan. Appl. Econ. 39, 79–85 (2007)
Lobo B.J.: Jump risk in the U.S. stock market: evidence using political information. Rev. Financ. Econ. 8, 149–163 (1999)
Niederhoffer V.: The analysis of world events and stock prices. J. Bus. 44, 193–219 (1971)
Pantzalis C., Stangeland D.A., Turtle H.J.: Political elections and the resolution of uncertainty: the international evidence. J. Bank. Financ. 24, 1575–1604 (2000)
Reilly W.B. Jr, Lukseitch W.A.: The market prefers Republicans: myth or reality?. J. Financ. Quant. Anal. 15, 541–559 (1980)
Santa-Clara P., Valkanov R.: The Presidential puzzle: political cycles and the stock market. J. Financ. 58, 1841–1872 (2003)
Wang Y.H., Lin C.T.: The political uncertainty and stock market behavior in emerging democracy: the case of Taiwan. Qual. Quant. 43(2), 237–248 (2009)
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Wang, YH., Hung, JC., Kao, HH. et al. Long-term relationship between political behavior and stock market return: new evidence from quantile regression. Qual Quant 45, 1361–1367 (2011). https://doi.org/10.1007/s11135-010-9340-x
Published:
Issue Date:
DOI: https://doi.org/10.1007/s11135-010-9340-x