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Please note, we are experiencing high volume submissions; you will receive confirmations of submissions in due course. Data upload (DOI): https://researchdata.up.ac.za/ UPSpace: https://repository.up.ac.za/handle/2263/51914
Presidential cycles and time-varying bond–stock market correlations : evidence from more than two centuries of data
Utilizing a DCC-GARCH model to capture time-varying correlations, we show that Democratic administrations are generally associated with lower degree of co-movement between the stock and government bond returns. The findings are in line with the documented presidential cycle effect on stock market returns and corroborate recent evidence that, when risk aversion is high, agents tend to elect the Democratic Party.