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An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis
In this paper, we have tested the existence of a causal relationship between the arrival of the 45th presidency of United States and the performance of American stock markets by using a relatively novel methodology, namely the causal-impact Bayesian approach. In effect, we have found strong causal r...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7475121/ https://www.ncbi.nlm.nih.gov/pubmed/32923716 http://dx.doi.org/10.1016/j.heliyon.2020.e04760 |
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author | Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador |
author_facet | Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador |
author_sort | Martín Cervantes, Pedro Antonio |
collection | PubMed |
description | In this paper, we have tested the existence of a causal relationship between the arrival of the 45th presidency of United States and the performance of American stock markets by using a relatively novel methodology, namely the causal-impact Bayesian approach. In effect, we have found strong causal relationships which, in addition to satisfying the classical Granger Causality linear test, have been quantified in absolute and relative terms. Our findings should be included in the context of one of the main markets anomalies, the so-called “calendar effects”. More specifically, when distinguishing between the subperiods of pre- and post-intervention, data confirm that the “US presidential cycle” represents a process of high uncertainty and volatility in which the behavior of the prices of financial assets refutes the Efficient-Market Hypothesis. |
format | Online Article Text |
id | pubmed-7475121 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2020 |
publisher | Elsevier |
record_format | MEDLINE/PubMed |
spelling | pubmed-74751212020-09-11 An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador Heliyon Article In this paper, we have tested the existence of a causal relationship between the arrival of the 45th presidency of United States and the performance of American stock markets by using a relatively novel methodology, namely the causal-impact Bayesian approach. In effect, we have found strong causal relationships which, in addition to satisfying the classical Granger Causality linear test, have been quantified in absolute and relative terms. Our findings should be included in the context of one of the main markets anomalies, the so-called “calendar effects”. More specifically, when distinguishing between the subperiods of pre- and post-intervention, data confirm that the “US presidential cycle” represents a process of high uncertainty and volatility in which the behavior of the prices of financial assets refutes the Efficient-Market Hypothesis. Elsevier 2020-08-26 /pmc/articles/PMC7475121/ /pubmed/32923716 http://dx.doi.org/10.1016/j.heliyon.2020.e04760 Text en © 2020 The Author(s) http://creativecommons.org/licenses/by/4.0/ This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Martín Cervantes, Pedro Antonio Cruz Rambaud, Salvador An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis |
title | An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis |
title_full | An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis |
title_fullStr | An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis |
title_full_unstemmed | An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis |
title_short | An empirical approach to the “Trump Effect” on US financial markets with causal-impact Bayesian analysis |
title_sort | empirical approach to the “trump effect” on us financial markets with causal-impact bayesian analysis |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7475121/ https://www.ncbi.nlm.nih.gov/pubmed/32923716 http://dx.doi.org/10.1016/j.heliyon.2020.e04760 |
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