Realized Stock-Market Volatility of the United States and the Presidential Approval Rating
Studying the question of whether macroeconomic predictors play a role in forecasting stock-market volatility has a long and significant tradition in the empirical finance literature. We went beyond the earlier literature in that we studied whether the presidential approval rating can be used as a si...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-07-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/13/2964 |
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| author | Rangan Gupta Yuvana Jaichand Christian Pierdzioch Reneé van Eyden |
| author_facet | Rangan Gupta Yuvana Jaichand Christian Pierdzioch Reneé van Eyden |
| author_sort | Rangan Gupta |
| collection | DOAJ |
| description | Studying the question of whether macroeconomic predictors play a role in forecasting stock-market volatility has a long and significant tradition in the empirical finance literature. We went beyond the earlier literature in that we studied whether the presidential approval rating can be used as a single-variable substitute in place of standard macroeconomic predictors when forecasting stock-market volatility in the United States (US). Political-economy considerations imply that the presidential approval rating should reflect fluctuations in macroeconomic predictors and, hence, may absorb or even improve on the predictive value for stock-market volatility of the latter. We studied whether the presidential approval rating has predictive value out-of-sample for realized stock-market volatility and, if so, which types of investors benefit from using it. |
| first_indexed | 2024-03-11T01:35:11Z |
| format | Article |
| id | doaj.art-5d33ff34d8224e8786bd8a2e8f17d416 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-11T01:35:11Z |
| publishDate | 2023-07-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-5d33ff34d8224e8786bd8a2e8f17d4162023-11-18T17:03:52ZengMDPI AGMathematics2227-73902023-07-011113296410.3390/math11132964Realized Stock-Market Volatility of the United States and the Presidential Approval RatingRangan Gupta0Yuvana Jaichand1Christian Pierdzioch2Reneé van Eyden3Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South AfricaDepartment of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South AfricaDepartment of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O. Box 700822, 22008 Hamburg, GermanyDepartment of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South AfricaStudying the question of whether macroeconomic predictors play a role in forecasting stock-market volatility has a long and significant tradition in the empirical finance literature. We went beyond the earlier literature in that we studied whether the presidential approval rating can be used as a single-variable substitute in place of standard macroeconomic predictors when forecasting stock-market volatility in the United States (US). Political-economy considerations imply that the presidential approval rating should reflect fluctuations in macroeconomic predictors and, hence, may absorb or even improve on the predictive value for stock-market volatility of the latter. We studied whether the presidential approval rating has predictive value out-of-sample for realized stock-market volatility and, if so, which types of investors benefit from using it.https://www.mdpi.com/2227-7390/11/13/2964stock-market volatilitymacroeconomic predictorspresidential approval ratingforecasting |
| spellingShingle | Rangan Gupta Yuvana Jaichand Christian Pierdzioch Reneé van Eyden Realized Stock-Market Volatility of the United States and the Presidential Approval Rating Mathematics stock-market volatility macroeconomic predictors presidential approval rating forecasting |
| title | Realized Stock-Market Volatility of the United States and the Presidential Approval Rating |
| title_full | Realized Stock-Market Volatility of the United States and the Presidential Approval Rating |
| title_fullStr | Realized Stock-Market Volatility of the United States and the Presidential Approval Rating |
| title_full_unstemmed | Realized Stock-Market Volatility of the United States and the Presidential Approval Rating |
| title_short | Realized Stock-Market Volatility of the United States and the Presidential Approval Rating |
| title_sort | realized stock market volatility of the united states and the presidential approval rating |
| topic | stock-market volatility macroeconomic predictors presidential approval rating forecasting |
| url | https://www.mdpi.com/2227-7390/11/13/2964 |
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