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Author: Dilrukshi Yapa Abeywardhana Publisher: ISBN: Category : Languages : en Pages :
Book Description
The purpose of this study is to investigate the relationship between stock return volatility, political uncertainty, macroeconomic variables and output. Why does stock volatility increase when output declines? Theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though the basic facts are well-established, the causal link between volatility and business slumps is unclear. Slumps may cause volatility, volatility may cause slumps, or both may be the consequence of some other more clearly exogenous factors. The study examines the explanatory power of the selected variables to explain the output over a period from 1998 to 2003 using multiple regression approach. Monthly secondary data are gathered from Colombo Stock Exchange, Central Bank of Sri Lanka, Elections Department and Department of Police. Eight important variables have been identified for the study namely, stock return volatility, changes in share price, political uncertainty, inflation rate, exchange rate and treasury bill rate. Descriptive statistics and regression analysis were carried out to analyze the data. Regression analysis was carried out for the periods before and after the peace process. The results of the study show that three variables indicate a significant impact on the output. Study indicates two general conclusions. First, the existence of stock return volatility, share price changes and political uncertainty affect the output. Second, the existence of such environments i.e., politically uncertain and volatile stock market reveals that some unexplained factors affect the output. However, political uncertainty hypothesis is not statistically significant but the coefficients are negative as assumed in the valuation model. However, taking all the variables together in the model explains more than moderate level change in output.
Author: Dilrukshi Yapa Abeywardhana Publisher: ISBN: Category : Languages : en Pages :
Book Description
The purpose of this study is to investigate the relationship between stock return volatility, political uncertainty, macroeconomic variables and output. Why does stock volatility increase when output declines? Theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output. Though the basic facts are well-established, the causal link between volatility and business slumps is unclear. Slumps may cause volatility, volatility may cause slumps, or both may be the consequence of some other more clearly exogenous factors. The study examines the explanatory power of the selected variables to explain the output over a period from 1998 to 2003 using multiple regression approach. Monthly secondary data are gathered from Colombo Stock Exchange, Central Bank of Sri Lanka, Elections Department and Department of Police. Eight important variables have been identified for the study namely, stock return volatility, changes in share price, political uncertainty, inflation rate, exchange rate and treasury bill rate. Descriptive statistics and regression analysis were carried out to analyze the data. Regression analysis was carried out for the periods before and after the peace process. The results of the study show that three variables indicate a significant impact on the output. Study indicates two general conclusions. First, the existence of stock return volatility, share price changes and political uncertainty affect the output. Second, the existence of such environments i.e., politically uncertain and volatile stock market reveals that some unexplained factors affect the output. However, political uncertainty hypothesis is not statistically significant but the coefficients are negative as assumed in the valuation model. However, taking all the variables together in the model explains more than moderate level change in output.
Author: George Bittlingmayer Publisher: ISBN: Category : Languages : en Pages :
Book Description
The sources of stock volatility and especially higher volatility in recessions have puzzled financial economists. One explanation emerges from recent theoretical work that points to political and regulatory uncertainty as a source of output fluctuations. Since political uncertainty can also generate stock price volatility, its joint effects on stock prices and output may explain why stock volatility is correlated with output declines. Evidence from a particularly instructive natural experiment, the transition from Imperial to Weimar Germany, supports the view that stock price volatility reflects an uncertain political climate. Statistically, stock price volatility and the ultimate factors it represents play a major role in explaining the post-World-War-I collapse of the German economy and subsequent output fluctuations. A doubling of stock volatility implies a decline of output of -6 to -15 percent.
Author: Hans-Joachim Voth Publisher: ISBN: Category : Languages : en Pages : 41
Book Description
The extreme levels of stock price volatility found during the Great Depression have often been attributed to political uncertainty. This paper performs an explicit test of the Merton/Schwert hypothesis that doubts about the survival of the capitalist system were partly responsible. It does so by using a panel data set on political unrest, demonstrations and other indicators of instability in a set of 10 developed countries during the interwar period. I show that political risks themselves changed dramatically over the period, and are sufficient to account for a large part of the increase in volatility during the Great Depression. This conclusion is robust to a number of alternative specifications. I derive rolling estimates of the risk of revolution, and demonstrate that the strong reaction to incidents of worker militancy such as strikes and riots can be rationalized as a sensible reaction to the risk of expropriation.
Author: Deborah B. Beyer Publisher: ISBN: Category : Finance Languages : en Pages : 0
Book Description
In recent decades, rising economic policy uncertainty coupled with increasing levels of political polarization have impacted financial markets and by extension, investors in those markets. Literature has mainly focused its attention on one of these factors or the other, while few studies to date have examined their joint effects on stock market volatility. Yet politics and the economy are profoundly intertwined; they must be considered in tandem. Through a two-essay format, the objectives of this dissertation are to investigate the combined impact of economic policy uncertainty and partisan conflict on stock market volatility and further, to study the impact of partisan conflict in particular on politically sensitive industry volatility. Findings from Essay 1 provide evidence that economic policy uncertainty increases volatility, whereas partisan conflict reduces it. A deeper examination reveals that partisan conflict’s dampening effect exists only during periods of political gridlock. Essay 2 results show that partisan conflict also reduces industry-level volatility. Moreover, partisan conflict has a greater impact on reducing high politically sensitive industry volatility compared to industries with low political sensitivity. Results from both studies are meant to inform government policymakers, analysts, and investors of the effects these politically-related forces have on equity market volatility.
Author: Council on Foreign Relations Publisher: Council on Foreign Relations ISBN: 0876095015 Category : Political Science Languages : en Pages : 354
Book Description
"The volume includes seminal pieces from Foreign Affairs, ForeignAffairs.com, and CFR.org. In addition, major public statements by Barack Obama, Hillary Rodham Clinton, Hosni Mubarak, Muammar al-Qaddafi, and others are joined by Egyptian opposition writings and relevant primary source documents."--Page 4 of cover.
Author: Cosset, Jean-Claude Publisher: Québec : Faculté des sciences de l'administration de l'Université Laval, Direction de la recherche ISBN: 9782895241652 Category : Languages : en Pages : 34
Author: C. James Hueng Publisher: W.E. Upjohn Institute ISBN: 0880996765 Category : Business & Economics Languages : en Pages : 133
Book Description
Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.
Author: Benjamin M. Blau Publisher: ISBN: Category : Languages : en Pages :
Book Description
This study tests whether income inequality creates greater volatility in stock prices across a broad sample of countries. Contrary to the idea that inequality creates social and political uncertainty that is reflected in higher volatility, we instead find a negative association between inequality and volatility. To make stronger causal inferences, we use the passing of the French “Millionaire Tax” as a natural experiment. Results show that volatility of French stocks increases after the Tax implementation. Besides finding that inequality stabilizes stock prices, we also find that countries with greater inequality also have stocks with more normal return distributions.
Author: Dilrukshi Yapa Abeywardhana
Author: Dilrukshi Yapa Abeywardhana
Author: George Bittlingmayer
Author: Bernadette Wallace
Author: Hans-Joachim Voth
Author: Hans-Joachim Voth
Author: Deborah B. Beyer
Author: Council on Foreign Relations
Author: Cosset, Jean-Claude
Author: C. James Hueng
Author: Benjamin M. Blau