A partisan effect in the efficiency of the US stock market

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 20, 2012, Pages 4923-4932

  Alvarez Ramirez, J ^a   Rodriguez, E ^a   Espinosa Paredes, G ^a  

^a DEPARTAMENTO DE QUÍMICA   (Mexico)

Author keywords

Business cycles; Detrended fluctuation analysis; Partisan effect; Presidential administrations; US stock market

Indexed keywords

COMMERCE;

BUSINESS CYCLES; DETRENDED FLUCTUATION ANALYSIS; DOMINANT PERIODS; DOW JONES INDUSTRIAL AVERAGES; ECONOMIC POLICIES; FRACTAL SCALING; PARTISAN EFFECT; POLITICAL PARTIES;

FINANCIAL MARKETS;

EID: 84863496269     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.05.005     Document Type: Article

References (32)

1. F. Cross The behavior of stock prices on Fridays and Mondays Financ. Anal. J. 29 1973 67 69
2. K.R. French Stock returns and the weekend effect J. Financ. Econ. 8 1980 55 69
3. M.R. Gibbons, and P. Hess Day of the week effects and asset returns J. Business 54 1981 579 596
4. K. Liano, K. Liano, and H. Manakyan Presidential administrations and the day-of-the-week effect in stock returns Rev. Financ. Econ. 8 1999 93 99
5. M.S. Rozeff, and W.R. Kinney Capital market seasonality: the case of stock returns J. Financ. Econ. 3 1976 379 402
6. D.B. Keim Size-related anomalies and stock return seasonality: further empirical evidence J. Financ. Econ. 12 1983 12 32
7. R. Aggarwal, and D.C. Schirm The predictive power of January returns in the political-business cycle Int. Rev. Financ. Anal. 1 1992 237 245
8. D.D. Allivine, and D.D. O'Neill Stock market returns and the presidential election cycle: implications for market efficiency Financ. Anal. J. 36 1980 49 56
9. M. Gartner, and K.W. Wellershoff Is there an election cycle in American stock returns? Int. Rev. Econ. Financ. 4 1995 387 410
10. C.R. Hensel, and W.T. Ziemba United states investment returns during Democratic and Republican administrations, 1928-1993 Financ. Anal. J. 51 1995 61 69
11. R.D. Huang Common stock returns and presidential elections Financ. Anal. J. 41 1985 58 61
12. K.V. Smith The stock market doesn't mind Democrats Wall Street J. 1992 A10 July 20
13. J.R. Booth, and L.Ch. Booth Is presidential cycle in security returns merely a reflection of business conditions? Rev. Financ. Econ. 12 2003 131 159 (Pubitemid 36507402)
14. E. Snowberg, J. Wolfers, and E. Zitzewitz Partisan impacts on the economy: evidence from prediction markets and close elections Q. J. Econ. 122 2007 807 829
15. R. Thaler Mental accounting matters J. Behav. Decis. Mak. 12 1999 183 206
16. C.-K. Peng, S.V. Buldyrev, S. Havlin, M. Simons, H.E. Stanley, and A.L. Goldberger Mosaic organization of DNA nucleotides Phys. Rev. E 49 1994 1685 1689
17. J. Alvarez-Ramirez, J. Alvarez, E. Rodriguez, and E. Fernandez-Anaya Time-varying Hurst exponent for US stock markets Physica A 387 2008 6159 6169
18. B. de Groot, and P.H. Franses Common socio-economic cycle periods Technol. Forecast. Soc. Change 79 2012 59 68
19. A.V. Korotayev, and S.V. Tsirel A spectral analysis of world GDP dynamics: Kondratieff waves, Kuznets swings Struct. Dyn. 4 2010 1 57
20. D.A. Hibbs Political parties and macroeconomic policy Amer. Polit. Sci. Rev. 71 1977 1467 1487
21. D.O. Cajueiro, and B.M. Tabak Fluctuation dynamics in US interest rates and the role of monetary policy Finance Res. Lett. 7 2010 163 169
22. A. Sachsida, J.A. Divino, and D.O. Cajueiro Inflation, unemployment, and the time consistency of the US monetary policy Struct. Change Econ. Dyn. 22 2011 173 179
23. S.R. Foerster, and J.J. Schmitz The transmission of US election cycles to international stock returns J. Int. Bus. Stud. 28 1997 1 27 (Pubitemid 127344493)
24. W.-K. Wong, and M. McAleer Mapping the presidential election cycle in US stock markets Math. Comput. Simul. 79 2009 3267 3277
25. K.-P. Lim, and R. Brooks The evolution of stock market efficiency over time: a survey of the empirical literature J. Econ. Surv. 25 2011 69 108
26. W.A. Risso The informational efficiency and the financial crashes Res. Int. Bus. Financ. 22 2008 396 408
27. L. Zunino, M. Zanin, B.M. Tabak, D.G. Pérez, and O.A. Rosso Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency Physica A 389 2010 1891 1901
28. R. Gencay, and N. Gradojevic The crash of '87 - was it expected? Aggregate market fears and long-range dependence J. Empir. Financ. 17 2010 270 282
29. S.M. Pincus Approximate entropy as a measure of system complexity Proc. Natl. Acad. Sci. 88 1991 2297 2301 (Pubitemid 21916403)
30. G.W. Schwert Stock returns and real activity, a century of evidence J. Financ. 45 1990 1237 1257
31. L. Aguiar-Conraria, N. Azevedo, and M.J. Soares Using wavelets to decompose the time-frequency effects of monetary policy Physica A 387 2008 2863 2878
32. R. Giglio, R. Matsushita, A. Figueiredo, I. Gleria, and S. Da Silva Algorithmic complexity theory and the relative efficiency of financial markets Europhys. Lett. 48 2008 48005