Presidential cycles and time-varying bond–stock market correlations : evidence from more than two centuries of data
| dc.contributor.author | Demirer, Riza | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2018-04-16T09:05:08Z | |
| dc.date.issued | 2018-06 | |
| dc.description.abstract | 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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2019-06-01 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ecolet | en_ZA |
| dc.identifier.citation | Demirer, R. & Gupta, R. 2018, 'Presidential cycles and time-varying bond–stock market correlations : evidence from more than two centuries of data', Economics Letters, vol. 167, pp. 36-39. | en_ZA |
| dc.identifier.issn | 0165-1765 (print) | |
| dc.identifier.issn | 1873-7374 (online) | |
| dc.identifier.other | 10.1016/j.econlet.2018.03.006 | |
| dc.identifier.uri | http://hdl.handle.net/2263/64564 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2018 Elsevier B.V.. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Letters. 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. A definitive version was subsequently published in Economics Letters, vol. 167, pp. 36-39, 2018. doi : 10.1016/j.econlet.2018.03.006. | en_ZA |
| dc.subject | Conditional correlation | en_ZA |
| dc.subject | US presidential cycles | en_ZA |
| dc.subject | United States (US) | en_ZA |
| dc.subject | Bond and stock returns comovement | en_ZA |
| dc.subject | Dynamic conditional correlation (DCC) | en_ZA |
| dc.subject | Generalized autoregressive conditional heteroskedasticity (GARCH) | en_ZA |
| dc.title | Presidential cycles and time-varying bond–stock market correlations : evidence from more than two centuries of data | en_ZA |
| dc.type | Postprint Article | en_ZA |