Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes
Author
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
References listed on IDEAS
- Nasr, Adnen Ben & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2016.
"Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching,"
International Review of Economics & Finance, Elsevier, vol. 45(C), pages 559-571.
- Ben Nasr, Adnen & Lux, Thomas & Ajmi, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," FinMaP-Working Papers 2, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 201412, University of Pretoria, Department of Economics.
- Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
- Robert F. Engle & Jose Gonzalo Rangel, 2008. "The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1187-1222, May.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2022.
"A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 384-400, January.
- Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2019. "A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data," Working Papers 201978, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019.
"Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests,"
Sustainability, MDPI, vol. 11(2), pages 1-15, January.
- Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Working Papers 201846, University of Pretoria, Department of Economics.
- Thomas Chaney & David Sraer & David Thesmar, 2012.
"The Collateral Channel: How Real Estate Shocks Affect Corporate Investment,"
American Economic Review, American Economic Association, vol. 102(6), pages 2381-2409, October.
- Thomas Chaney & David Sraer & David Thesmar, 2010. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," NBER Working Papers 16060, National Bureau of Economic Research, Inc.
- Thomas Chaney & David Sraer & David Thesmar, 2012. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," Post-Print hal-01009900, HAL.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021.
"Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings,"
International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2018. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," Working Papers 201830, University of Pretoria, Department of Economics.
- Ľuboš Pástor & Pietro Veronesi, 2020.
"Political Cycles and Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 128(11), pages 4011-4045.
- Lubos Pastor & Pietro Veronesi, 2017. "Political Cycles and Stock Returns," NBER Working Papers 23184, National Bureau of Economic Research, Inc.
- Pástor, Luboš & Veronesi, Pietro, 2017. "Political Cycles and Stock Returns," CEPR Discussion Papers 11864, C.E.P.R. Discussion Papers.
- Lubos Pástor & Pietro Veronesi, 2012.
"Uncertainty about Government Policy and Stock Prices,"
Journal of Finance, American Finance Association, vol. 67(4), pages 1219-1264, August.
- Lubos Pastor & Pietro Veronesi, 2010. "Uncertainty about Government Policy and Stock Prices," NBER Working Papers 16128, National Bureau of Economic Research, Inc.
- Pietro Veronesi & Lubos Pastor, 2011. "Uncertainty about Government Policy and Stock Prices," 2011 Meeting Papers 86, Society for Economic Dynamics.
- Veronesi, Pietro & Pástor, Luboš, 2010. "Uncertainty about Government Policy and Stock Prices," CEPR Discussion Papers 7897, C.E.P.R. Discussion Papers.
- Magerakis, Efstathios & Pantzalis, Christos & Park, Jung Chul, 2023. "The effect of proximity to political power on corporate cash policy," Journal of Corporate Finance, Elsevier, vol. 82(C).
- José Rangel & Robert Engle, 2012.
"The Factor–Spline–GARCH Model for High and Low Frequency Correlations,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124.
- José Gonzalo Rangel & Robert F. Engle, 2011. "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124, May.
- Rangel José Gonzalo & Engle Robert F., 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015.
"Measuring Uncertainty,"
American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013. "Measuring Uncertainty," NBER Working Papers 19456, National Bureau of Economic Research, Inc.
- Niu, Zibo & Demirer, Riza & Suleman, Muhammad Tahir & Zhang, Hongwei & Zhu, Xuehong, 2024. "Do industries predict stock market volatility? Evidence from machine learning models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Pástor, Ľuboš & Veronesi, Pietro, 2013.
"Political uncertainty and risk premia,"
Journal of Financial Economics, Elsevier, vol. 110(3), pages 520-545.
- Lubos Pastor & Pietro Veronesi, 2011. "Political Uncertainty and Risk Premia," NBER Working Papers 17464, National Bureau of Economic Research, Inc.
- Veronesi, Pietro & Pástor, Luboš, 2011. "Political Uncertainty and Risk Premia," CEPR Discussion Papers 8601, C.E.P.R. Discussion Papers.
- Belo, Frederico & Gala, Vito D. & Li, Jun, 2013. "Government spending, political cycles, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 305-324.
- George M. Korniotis & Alok Kumar, 2013. "State-Level Business Cycles and Local Return Predictability," Journal of Finance, American Finance Association, vol. 68(3), pages 1037-1096, June.
- Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014.
"Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model,"
Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
- Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
- Baker, Scott R. & Davis, Steven J. & Levy, Jeffrey A., 2022.
"State-level economic policy uncertainty,"
Journal of Monetary Economics, Elsevier, vol. 132(C), pages 81-99.
- Scott R. Baker & Steven J. Davis & Jeffrey A. Levy, 2022. "State-Level Economic Policy Uncertainty," NBER Working Papers 29714, National Bureau of Economic Research, Inc.
- Baker, Scott R. & Davis, Steven J. & Levy, Jeffrey A., 2022. "State-Level Economic Policy Uncertainty," IZA Discussion Papers 15156, Institute of Labor Economics (IZA).
- Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
- Pedro Santa‐Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
- Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013. "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 776-797, July.
- Kim, Chansog (Francis) & Pantzalis, Christos & Chul Park, Jung, 2012. "Political geography and stock returns: The value and risk implications of proximity to political power," Journal of Financial Economics, Elsevier, vol. 106(1), pages 196-228.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2021.
"Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 369-410, October.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers 21803, National Bureau of Economic Research, Inc.
- Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Reneé van Eyden, 2023.
"Realized Stock-Market Volatility of the United States and the Presidential Approval Rating,"
Mathematics, MDPI, vol. 11(13), pages 1-27, July.
- Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Renee van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Working Papers 202311, University of Pretoria, Department of Economics.
- Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
- Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
- Chikashi Tsuji, 2012. "Do industries contain predictive information for the Fama--French factors?," Quantitative Finance, Taylor & Francis Journals, vol. 12(6), pages 969-991, March.
- Joshua D. Coval & Tobias J. Moskowitz, 2001. "The Geography of Investment: Informed Trading and Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 109(4), pages 811-841, August.
- Lu, Fei & Ma, Feng, 2023. "Cross-sectional uncertainty and stock market volatility: New evidence," Finance Research Letters, Elsevier, vol. 57(C).
- repec:hal:spmain:info:hdl:2441/75koqefued8i7pihbrl9u84p4u is not listed on IDEAS
- Christo Pirinsky & Qinghai Wang, 2006. "Does Corporate Headquarters Location Matter for Stock Returns?," Journal of Finance, American Finance Association, vol. 61(4), pages 1991-2015, August.
- Riza Demirer & Rangan Gupta, 2018. "Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data," Working Papers 201811, University of Pretoria, Department of Economics.
- Shaddy Douidar & Christos Pantzalis & Jung Chul Park, 2023. "Political geography and the value relevance of real options," The Financial Review, Eastern Finance Association, vol. 58(4), pages 703-733, November.
- Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
- Montone, Maurizio, 2022. "Does the U.S. president affect the stock market?," Journal of Financial Markets, Elsevier, vol. 61(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Afees A. Salisu & Wenting Liao & Rangan Gupta & Oguzhan Cepni, 2023. "Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model," Working Papers 202323, University of Pretoria, Department of Economics.
- V. Candila & O. Cepni & G. M. Gallo & R. Gupta, 2024.
"Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis,"
Working Paper CRENoS
202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis," Working Papers 202437, University of Pretoria, Department of Economics.
- Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Reneé van Eyden, 2023.
"Realized Stock-Market Volatility of the United States and the Presidential Approval Rating,"
Mathematics, MDPI, vol. 11(13), pages 1-27, July.
- Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Renee van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Working Papers 202311, University of Pretoria, Department of Economics.
- Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023.
"Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning,"
Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(1), pages 111-122, January.
- Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021. "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers 202118, University of Pretoria, Department of Economics.
- Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023.
"Climate risks and state-level stock market realized volatility,"
Journal of Financial Markets, Elsevier, vol. 66(C).
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Climate Risks and State-Level Stock-Market Realized Volatility," Working Papers 202246, University of Pretoria, Department of Economics.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024.
"Business applications and state‐level stock market realized volatility: A forecasting experiment,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 456-472, March.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment," Working Papers 202247, University of Pretoria, Department of Economics.
- Afees A. Salisu & Ahamuefula E.Oghonna & Rangan Gupta & Oguzhan Cepni, 2024. "Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach," Working Papers 202409, University of Pretoria, Department of Economics.
- Rangan Gupta & Mark Wohar, 2019.
"The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data,"
Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
- Rangan Gupta & Mark E. Wohar, 2018. "The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers 201851, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Oguzhan Cepni & Petre Caraiani, 2024.
"Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach,"
Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1473-1510, November.
- Afees A. Salisu & Rangan Gupta & Oguzhan Cepni & Petre Caraiani, 2023. "Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach," Working Papers 202327, University of Pretoria, Department of Economics.
- Gupta, Rangan & Pierdzioch, Christian & Selmi, Refk & Wohar, Mark E., 2018. "Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 87-96.
- Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2020. "Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?," Working Papers 2020107, University of Pretoria, Department of Economics.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta & He Li & Yu You, 2021. "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers 202112, University of Pretoria, Department of Economics.
- Ruipeng Liu & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
- Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
- Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
- Song, Jeongseop & Zhang, Fan, 2024. "Regional market uncertainty and corporate investment," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
- Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2022.
"Financial turbulence, systemic risk and the predictability of stock market volatility,"
Global Finance Journal, Elsevier, vol. 52(C).
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2021. "Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility," Working Papers 202162, University of Pretoria, Department of Economics.
- Pham, Anh Viet & Adrian, Christofer & Garg, Mukesh & Phang, Soon-Yeow & Truong, Cameron, 2021. "State-level COVID-19 outbreak and stock returns," Finance Research Letters, Elsevier, vol. 43(C).
- Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
More about this item
Keywords
Stock market volatility; Random forests; Political alignment; Investor sentiment;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2024-04-22 (Big Data)
- NEP-FMK-2024-04-22 (Financial Markets)
- NEP-POL-2024-04-22 (Positive Political Economics)
- NEP-RMG-2024-04-22 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:202414. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rangan Gupta (email available below). General contact details of provider: https://edirc.repec.org/data/decupza.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.