Parliamentary Elections and the Stock Markets: Evidence from CEE Countries
|Author:||Mgr. Tomáš Bláhovec|
|Year:||2012 - summer|
|Leaders:|| Mgr. Radka Štiková Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||The thesis deals with electoral and partisan cycles in stock returns of nine
CEE countries and checks consistency of observed cycles with eficient market
hypothesis. The evidence mostly supports possibility of political inuence on stock markets, but the efects often have opposite sign than hypothesized.
Electoral cycle has been found in Estonia and Hungary, while returns in four
other countries are significantly lower before elections. Markets more often
exhibit left-wing premium, it is significant in the Czech Republic, Lithuania
and Romania. The results are similar between nominal and real returns. Both
cycles are also considered significant for the panel of countries. Moreover, cycles
are hardly explainable by macroeconomic conditions, which indicates market
ineficiency. This is confirmed by analysis of volatility, which reveals that risk
does not correspond to changes in returns induced by the cycles.
|Downloadable:|| DT Blahovec