Recent studies highlight the positive effect of political connections on firm performance and stock returns. This paper shows that returns becomes substantially weaker in weak presidency period, defined as last 2 years before presidential party change or period low job approval ratings. We consider two hypotheses—political interconnectedness risk—and find both hypotheses are important explainin...

This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed pri...

This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...

The power of mean reversion tests has long been a tacit issue of the market efficiency literature. Early tests of market efficiency, as summarized in Fama Ž . 1970 , found no economically significant evidence of serial correlation in stock Ž . returns. However, Summers 1986 later suggested that this was because these tests lacked power: Summers suggested a model of AfadsB in which stock prices ...

and we acknowledge the contributions of participants at these conferences. All errors or omissions are our own. Abstract Were Australian Internet stock returns unusual? We examine daily returns on a primary sample of the 21 Australian Internet stocks in the Merrill Lynch (Australian) Internet Stock Index at the climax of the boom-bust period, between 21 September 1999 and 20 September 2000. App...