An Analysis of The Effects of U.S. Political Business Cycle To The Asian Country

• Main Authors: Shang-Chun Yang, 楊尚君
• Other Authors: Shyan-Rong Chou
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/00311717002983528246

碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT 　　The purpose of this study is to examine the effects of U.S. political business cycle to the Asian country. This article follows the methodology of Merton（1973）, Cox, Ingersoll & Ross（1985）, Forester & Schmitz（1997）to find if the political factor would have the influence to the Asian country. The study period is from October 1980 to November 2000. The findings are summarized as follow: This paper confirms the results of Allivine & O’Neill(1980)、Huang(1985)、Forester & Schmetz（1997）that the U.S. stock market follows the U.S. four-year election cycle, and the Asian country’s stock market also follow the U.S. four-year election cycle, but not significant. In addition, it is found that the U.S. dollar tends to appreciate more in year1、3 and 4 of the election cycle. These lower year 2 returns are shown to be robust in Taiwan and Korea in conditional expected return regressions which include both local macroeconomic variables, U.S. macroeconomic, fiscal, and monetary policy variables.