Naslov
Did equity returns and volatilities change after the 2016 Trump election victory? (First published online 18 August 2020)
(Did equity returns and volatilities change after the 2016 Trump election victory?)

Autori
Yavas, Burhan. F. ; Dedi, Lidija ; Škrinjarić, Tihana

Izvornik
International journal of finance & economics (1076-9307) 27 (2022), 1; 1291-1308

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Co-movement of returns ; Volatility spillovers ; M-GARCH ; Exchange traded funds.

Sažetak
This paper investigates the reaction of equity markets to the 2016 US presidential elections in Canada, China, Mexico and Russia, and their interaction with the US market. This objective is carried out by studying the magnitude and direction of return and volatility transmission across the major stock indices of these countries. Daily data provided by Exchange Traded Funds, (ETFs) as well as country stock indices are utilized 2 years before and 2 years after the November 2016 elections. We use the VECH specification of the multivariate GARCH model. The results indicate the existence of significant co‐ movement of returns although some important differences before and after the elections are noted. Lagged values of the US returns significantly affect all other market returns in the pre‐election period, but not in the post‐ election period. There is also evidence of volatility spillovers. Implications such as diversification opportunities for investors are discussed and the critical importance of understanding the transmission process between markets for risk management and economic policy are indicated.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

Napomena
First published online 18 August 2020

POVEZANOST RADA