Martín Cervantes Pedro Antonio, Cruz Rambaud Salvador
Departamento de Economía y Empresa, Universidad de Almería, Spain.
Heliyon. 2020 Aug 26;6(8):e04760. doi: 10.1016/j.heliyon.2020.e04760. eCollection 2020 Aug.
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.
在本文中，我们运用一种相对新颖的方法，即因果影响贝叶斯方法，检验了美国第45任总统上任与美国股票市场表现之间因果关系的存在性。实际上，我们发现了强有力的因果关系，这些关系除了满足经典的格兰杰因果线性检验外，还从绝对和相对角度进行了量化。我们的研究结果应置于主要的市场异常现象之一，即所谓“日历效应”的背景下来考量。更具体地说，当区分干预前和干预后的子时期时，数据证实“美国总统周期”代表了一个高度不确定性和波动性的过程，其中金融资产价格的行为驳斥了有效市场假说。
