Wpływ wyborów politycznych na ceny akcji na Giełdzie Papierów Wartościowych w Warszawie

• Autorzy: Marek Szymański , Grzegorz Wojtalik

Warianty tytułu

Impact of Political Elections on Share Prices on the Warsaw Stock Exchange

• Języki publikacji: PL

Abstrakty

Celem artykułu jest zbadanie, czy wyniki wyborów politycznych w Polsce (prezydenckich, parlamentarnych i samorządowych) mają wpływ na notowania akcji na Giełdzie Papierów Wartościowych w Warszawie (GPW) oraz kurs polskiej złotówki do dolara amerykańskiego. W artykule opisano wyniki analizy uzyskane dzięki zastosowaniu modeli klasy ARCH i GARCH. Wpływ wyborów prezydenckich okazał się istotny statystycznie na poziomie 0,05, zaznaczał się w okresie 5 dni po wyborach i miał charakter ujemny. Wybory parlamentarne i samorządowe nie wywierały istotnego statystycznie wpływu na badane indeksy. Na kurs walutowy istotny statystycznie (na poziomie 0,05) wpływ miały wybory samorządowe. Wpływ na kurs USD/PLN był ujemny, tzn. wybory wpływały na umocnienie się złotówki w stosunku do dolara. (abstrakt oryginalny)

EN

The aim of the article is to examine whether the results of the political elections in Poland: (presidential, parliamentary and local) have an impact on share prices on the Warsaw Stock Exchange (WSE) and the exchange rate of the Polish zloty against the US dollar. The article describes the results of the analysis carried out using ARCH and GARCH models. The impact of the presidential election turned out to be statistically significant (0.05); this impact was visible in the period of 5 days after the election and it was negative. Parliamentary and local elections did not have any statistically significant impact on the analyzed indices. The local government elections had a statistically significant impact (at the significance level of 0.05) on the exchange rate. The impact on the USD/PLN exchange rate was negative, i.e. the elections contributed to the strengthening of the zloty against the US dollar. (original abstract)

Słowa kluczowe

PL

Wybory parlamentarne; Wybory prezydenckie; Wybory samorządowe; Giełda papierów wartościowych; Model GARCH

EN

Parliamentary election; Presidential election; Local election; Stock market; GARCH model

• Czasopismo: Ekonomista
• Rocznik: 2022
• Numer: nr 3
• Strony: 290--306

Twórcy

autor

Marek Szymański

• Uniwersytet Łódzki

autor

Grzegorz Wojtalik

• Uniwersytet Łódzki

Bibliografia

• Allvine F.C., O'Neill D.E. (1980), Stock market returns and the presidential election cycle: Implications for market efficiency, "Financial Analysts Journal" 36(5), s. 49-56.
• Ane T. (2006), Short and long term components of volatility in Hong Kong stock returns, "Applied Financial Economics" 16, s. 439-460.
• Anwar Z., Nazir M.S., Younus H., Kaleem A. (2014), Impact of political events on stock market returns: empirical evidence from Pakistan, "Journal of Economic and Administrative Sciences" 30(1), s. 60-78.
• Bailey B.A., Heck J.L., Wikens K.A. (2005), International mutual fund performance and political risk, "Review of Pacific Basin Financial Markets and Policies" vol. 8, no. 1, s. 167-184.
• Beaulieu M.C., Cosset J.C., Essaddam N. (2006), Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum, "The Canadian Journal of Economics (Revue Canadienne d'Economique)" vol. 39, no. 2, s. 621-641.
• Bechtel M.M. (2009), The political sources of systematic investment risk: lessons from a consensus democracy, "The Journal of Politics" vol. 71, no. 2, s. 661-677.
• Białkowski J., Gottschalk K., Wisniewski T.P. (2008), Stock market volatility around national elections, "Journal of Banking & Finance" 32(9), s. 1941-1953.
• Bollerslev T. (1986), Generalized autoregressive conditional heteroscedasticity, "Journal of Econometrics" 31, s. 307-327.
• Brander J.A. (1991), Election polls, free trade, and the stock market: evidence from the 1988 Canadian general election, "Canadian Journal of Economics" vol. 24, no. 4, s. 827-843.
• Chan Y.C., Wei K.J. (1996), Political risk and stock price volatility: the case of Hong Kong, "Pacific-Basin Finance Journal" 4(2-3), s. 259-275.
• Chen D.H., Bin, F.S., Chen, C.D. (2005), The impacts of political events on foreign institutional investors and stock returns: Emerging market evidence from Taiwan, "International Journal of Business" 10(2).
• Chien W.W., Mayer R.W., Wang Z. (2014), Stock market, economic performance, and presidential elections, "Journal of Business & Economics Research (JBER)" 12(2), s. 159-170.
• Cieślakowska A. (2004), Polityka a gospodarka - badanie wpływu wydarzeń politycznych na cenę akcji spółek GPW w Warszawie (Master's thesis).
• Floros C. (2008), The influence of the political elections on the course of the Athens stock exchange 1996-2002, "Managerial Finance" 34, s. 479-488.
• Gärtner M., Wellershoff K.W. (1995), Is there an election cycle in American stock returns?, "International Review of Economics & Finance" 4(4), s. 387-410.
• Goodell J.W., Bodey R.A. (2012), Price-earnings changes during US presidential election cycles: Voter uncertainty and other determinants, "Public Choice" 150(3-4), s. 633-650.
• Goodell J.W., Vähämaa S. (2013), US presidential elections and implied volatility: The role of political uncertainty, "Journal of Banking & Finance" 37(3), s. 1108-1117.
• Hibbs Jr D.A. (1977), Political parties and macroeconomic policy, "The American Political Science Review" 71(4), s. 1467-1487.
• Lean H. (2010), Political General Election and Stock Performance: The Malaysian Evidence, in: Research in Mathematics and Economics, Ismail M., Mustafa A., Penerbit Universiti Sains Malaysia, s. 111-120.
• Levine R., Zervos S. (1998), Stock markets, banks and economic growth, "American Economic Review" vol. 88, no. 3, s. 537-558.
• Liew V.K.S., Rowland R. (2016), The effect of Malaysia general election on stock market returns, SpringerPlus 5 (https://doi.org/10.1186/s40064-016-3648-5).
• Misman F.N., Roslan S., Aladin M.I.M. (2020), General Election and Stock Market Performance: A Malaysian Case, "International Journal of Financial Research" 11(3), s. 139-145.
• Niederhoffer V., Gibbs S., Bullock J. (1970), Presidential elections and the stock market, "Financial Analysts Journal" vol. 26, no. 2, s. 111-113.
• Nippani S., Arize, A.C. (2005). US presidential election impact on Canadian and Mexican stock markets, "Journal of Economics and Finance" 29(2), s. 271-279.
• Pantzalis C., Stangeland D.A., Turtle H.J. (2000), Political elections and the resolution of uncertainty: the international evidence, "Journal of Banking & Finance" 24(10), s. 1575-1604.
• Santa-Clara P., Valkanov R. (2003), The presidential puzzle: Political cycles and the stock market, "The Journal of Finance" 58(5), s. 1841-1872.
• Wisniewski T.P., Lightfoot G., Lilley S. (2012), Speculating on presidential success: exploring the link between the price-earnings ratio and approval ratings, "Journal of Economics and Finance" 36(1), s. 106-122.
• www.stooq.pl

Identyfikatory

DOI

10.52335/ekon/153435