Selecting the Portfolio Investment Strategy under Political Structure Change in the United States
學年 98
學期 1
出版（發表）日期 2009-09-01
作品名稱 Selecting the Portfolio Investment Strategy under Political Structure Change in the United States
作品名稱（其他語言）
著者 Wang, Yi-Hsien; Chuang, Chung-Chu
單位 淡江大學經營決策學系
出版者 Dordrecht: Springer Netherlands
著錄名稱、卷期、頁數 Quality & Quantity: International Journal of Methodology 43(5), pp.845-854
摘要 This paper investigated whether stock market returns and volatilities were induced by change of long-term political structure. The empirical study finds that the political change is a crucial variable to DJIA and S&P 500 stock returns, but is insignificant to volatilities. But after the 1987 Crash, the political change has a positive effect on DJIA stock returns, and reduced the risk of DJIA and S&P 500. When political structure change, significant economic policies must submit to political realities and those proposed by previous governments often do not get implemented, resulting in market confusion. But following the increasing the consummation of market structure during post-1987 crash, hence, the political change effect increased DJIA stock returns, and reduced the risk of DJIA and S&P 500, and therefore the investors might be able to make a profit when they took active portfolio positions of DJIA.
關鍵字 Conditional heteroskedasticity;GJR-GARCH-M;Long-term political structure;Portfolio investment strategy;Volatility asymmetry
語言 en
ISSN 0033-5177; 1573-7845
期刊性質 國外
收錄於 SCI SSCI
產學合作
通訊作者 Wang, Yi-Hsien
審稿制度
國別 NLD
公開徵稿
出版型式 紙本
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