Influence of German Bundestag Elections on the Stock Market Performance in Visegrad Group Countries
| Autor: | Bc. Jakub Skála |
|---|---|
| Rok: | 2015 - letní |
| Vedoucí: | prof. Roman Horváth Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 116 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/138247/ |
| Abstrakt: | This thesis deals with the behaviour of stock markets during the period of election process. We focus on the influence of elections to the German Bundestag on stock market performance of the countries allied in Visegrad Group during the reference period 1994-2013 covering six Bundestag elections. Germany is a major export partner for all members of Visegrad Group - the Czech Republic, Hungary, Poland and Slovakia. We examine whether there are abnormal returns on stock markets in Visegrad Group countries around the date of German Bundestag elections. We thus examine if the fact that performance of German economy is important for performance of economies of countries allied in Visegrad Group means that Bundestag elections influences their stock markets. We also analyze the influence of elections to German Bundestag on domestic stock market during the reference period 1961-2013. To measure the effect of elections we employ event study methodology using the mean-adjusted return model to measure normal returns. Our event window consists of 65 trading days around the election day (-15,50). We use the estimation window of 100 days (-150,-51). We assess our main hypothesis for each country around every Bundestag elections in our reference period separately over three event windows and also over eight event windows of various length (from 5 to 65 days) for all Visegrad Group country indices altogether also around every Bundestag elections. Statistically significant cumulative abnormal returns (CAR) of PX index over the whole event period (-15,50) are in 1994, 2009 and 2013, CARs of SAX index in 1998, 2005 and 2009, CARs of BUX index in 1994, 1998 and 2002 and CARs of WIG index in 1994. Statistically meaningful CARs for all indices are thus only in 1994. Significant cumulative average abnormal returns (CAAR) across all indices are significant at least over three event windows in 1994 (seven) and 2009 (six). CARs over the whole event period of DAX index are statistically significant only in 1987 and 1990. The lack of literature concerning this theme in Central and Eastern Europe has encouraged us to try to provide insight into the links between stock market performance and political issues for countries in Central Europe. To our knowledge similar research has not been carried out yet. |
