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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/65034


    Title: Selecting the Portfolio Investment Strategy under Political Structure Change in the United States
    Authors: Wang, Yi-Hsien;Chuang, Chung-Chu
    Contributors: 淡江大學經營決策學系
    Keywords: Conditional heteroskedasticity;GJR-GARCH-M;Long-term political structure;Portfolio investment strategy;Volatility asymmetry
    Date: 2009-09
    Issue Date: 2011-10-20 16:27:09 (UTC+8)
    Publisher: Dordrecht: Springer Netherlands
    Abstract: 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.
    Relation: Quality & Quantity: International Journal of Methodology 43(5), pp.845-854
    DOI: 10.1007/s11135-008-9191-x
    Appears in Collections:[Department of Management Sciences] Journal Article

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