Thales Batiston Marques; Nelson Seixas dos Santos
Volume 3, Issue 10 , October 2016, , Pages 545-571
Abstract
This paper investigates the relation between political news and market returns. To do so we applied a Garch filter to a sample of the main Brazilian stock market index returns (Ibovespa Index) and of short-term interest rates (Selic Over and DI) which ranged from 01/02/2014 to 04/29/2016. Then we looked ...
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This paper investigates the relation between political news and market returns. To do so we applied a Garch filter to a sample of the main Brazilian stock market index returns (Ibovespa Index) and of short-term interest rates (Selic Over and DI) which ranged from 01/02/2014 to 04/29/2016. Then we looked for periods of abnormal volatility which might be associated with political events using a parametric and a nonparametric method. Notwithstanding there were news like important politician been arrested and even speculation about the beginning of an impeachment process, we found relation between abnormal volatilities and political news only in Ibovespa returns during Presidential Elections.
Mansour Zarranejhad; Abdolkarim Hosseinpoor; Ebrahim Anvari
Volume 2, Issue 12 , December 2015, , Pages 1420-1434
Abstract
Different theories have different predictions about the relationship between financial development and income inequality that leads to two broad categories of thought with two conflicting theoretical hypotheses. This study examines the effect of financial development on income inequality in the Iran’s ...
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Different theories have different predictions about the relationship between financial development and income inequality that leads to two broad categories of thought with two conflicting theoretical hypotheses. This study examines the effect of financial development on income inequality in the Iran’s economy by using a Threshold Error Correction Model (TVECM) form 1971 to 2013. The results of TVAR.LR test show that the model has only one threshold. The results of the TVECM.Seo and TVECM.HS tests represent a threshold cointegration between the variables. Also, the results of Threshold Error Correction equation indicate that before reaching the threshold value, an increase in financial development causes increases in the Gini coefficient. But after reaching the threshold value, financial development reduces income inequality (decreases Gini coefficient) in the Iran’s economy.