dc.contributor.author |
Chang, Tsangyao
|
|
dc.contributor.author |
Chen, Wen-Yi
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Nguyen, Duc Khuong
|
|
dc.date.accessioned |
2015-06-26T07:10:48Z |
|
dc.date.available |
2015-06-26T07:10:48Z |
|
dc.date.issued |
2015-06 |
|
dc.description.abstract |
This study applies the bootstrap panel causality test proposed by
Ko´ nya (2006. Econ Modell 23, 978) to investigate the causal link
between political uncertainty and stock prices for seven OECD
countries over the monthly period of 2001.01 to 2013.04. This
modeling approach allows us to examine both cross-sectional
dependency and country-specific heterogeneity. Our empirical
results indicate that not all the countries are alike and that the
theoretical prediction that stock prices fall at the announcement of
a policy change is not always supported. Specifically, we find
evidence for the stock price leading hypothesis for Italy and Spain,
while the political uncertainty leading hypothesis cannot be
rejected for the United Kingdom and the United States. In addition,
the neutrality hypothesis was supported in the remaining three
countries (Canada, France and Germany), while no evidence for the
feedback hypothesis was found. |
en_ZA |
dc.description.embargo |
2016-06-30 |
en_ZA |
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/ecosys |
en_ZA |
dc.identifier.citation |
Chang, T., Chen, W-Y, Gupta, R & Nguyen, DK 2015, 'Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test', Economic Systems, vol. 39, no. 2, pp. 288-300. |
en_ZA |
dc.identifier.issn |
0939-3625 (print) |
|
dc.identifier.issn |
1878-5433 (online) |
|
dc.identifier.other |
10.1016/j.ecosys.2014.10.005 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/45793 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Systems. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Systems, vol.39, no.1, pp. 288-300, 2015. doi : 10.1016/j.ecosys.2014.10.005 |
en_ZA |
dc.subject |
Stock price |
en_ZA |
dc.subject |
Political uncertainty index |
en_ZA |
dc.subject |
Bootstrap panel causality test |
en_ZA |
dc.title |
Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test |
en_ZA |
dc.type |
Postprint Article |
en_ZA |