33
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Political administration effects and day-of-the-week effects in New Zealand's foreign exchange rate

&
Pages 401-412 | Published online: 07 Oct 2010

References

  • Abraham , A. and Ikenberry , D. 1994 . The individual investor and the weekend effect . Journal of Financial and Qualitative Analysis , 29 : 263 – 277 .
  • Agrawal , A. and Tandon , K. 1994 . Anomalies or illusions? Evidence from stock markets in eighteen foreign countries . Journal of International Money and Finance , 13 : 83 – 106 .
  • Alesina , A. and Sachs , J. 1988 . Political parties and the business cycle in the United States, 1948–1984 . Journal of Money, Credit and Banking , 20 : 63 – 82 .
  • Alexakis , P. and Xanthakis , M. 1995 . Day of the week effect on the Greek stock market . Applied Financial Economics , 5 : 43 – 50 .
  • Allvine , F. C. and O'Neill , D. E. 1980 . Stock market returns and the Presidential election cycle: Implications for market efficiency . Financial Analysts Journal , 36 : 49 – 56 .
  • Arsad , Z. and Coutts , J. A. 1997 . Security price anomalies in the London international stock exchange: A 60 year perspective . Applied Financial Economics , 7 : 455 – 464 .
  • Bachman , D. 1992 . The effect of political risk on the forward exchange bias: The case elections . Journal of International Money and Finance , 11 : 208 – 219 .
  • Baillie , R. and Bollerslev , T. 1991 . Intra-day and inter-market volatility in foreign exchange rates . The Review of Economic Studies , 58 : 565 – 585 .
  • Jarque , C. M. and Bera , A. K. 1980 . Efficient tests for normality, homoscedasticity serial independence of regression residuals . Economics Letters , 6 : 255 – 259 .
  • Board , J. L. G. and Sutcliffe , C. M. S. 1988 . The weekend effect in UK stock market returns . Journal of Business Finance and Accounting , 15 : 199 – 213 .
  • Bollard , A. and Mayes , D. G. 1993 . Lessons for Europe from New Zealand's liberalisation experience . National Institute Economic Review , 143 : 81 – 97 .
  • Chappell , H. W. and Keech , W. R. 1986 . Party differences in macroeconomic policies and outcomes . American Economic Review , 76 : 71 – 74 .
  • Chang , E. C. , Pinegar , J. M. and Ravichandran , R. 1993 . International evidence on the robustness of the day-of-theweek effect . Journal of Financial and Quantitative Analysis , 28 : 497 – 513 .
  • Condoyanni , L. , O'Hanlon , J. and Ward , C. W. R. 1987 . Day of the week effects on stock returns, International evidence . Journal of Business Finance and Accounting , 14 : 159 – 174 .
  • Connolly , R. A. 1989 . An examination of the robustness of the weekend effect . Journal of Financial and Quantitative Analysis , 24 : 133 – 169 .
  • Dacoronga , M. M. , Muller , M. , Ulrich , A. , Nagler , R. J. , Olsen , R. B. and Pictet , O. V. 1993 . A geographical model for the daily and weekly seasonal volatility in the foreign exchange market . Journal of International Money and Finance , 12 : 413 – 438 .
  • Damodaran , A. 1989 . The weekend effect in information releases: A study of earnings dividend announcements . Review of Financial Studies , 2 : 607 – 623 .
  • DeFusco , R. A. , McCabe , G. M. and Yook , K. C. 1993 . Day of the week effects: A test of the information timing hypothesis . Journal of Business Finance and Accounting , 20 : 835 – 842 .
  • Dickey , D. A. and Fuller , W. A. 1981 . Likelihood ratio statistics for autoregressive time series with unit root . Econometrica , 49 : 1057 – 1072 .
  • Easton , S. A. and Faff , R. W. 1994 . An investigation of the robustness of the day-of-the-week effect in Australia . Applied Financial Economics , 4 : 99 – 110 .
  • Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Evans , L. , Grimes , A. , Wilkinson , B. and Teece , D. 1996 . Economic reform in New Zealand 1984–1995: The pursuit of efficiency . Journal of Economic Literature , XXXIV : 1856 – 1902 .
  • French , K. R. 1980 . Stock returns and the weekend effect . Journal of Financial Economics , 8 : 55 – 69 .
  • Gibbons , M. R. and Hess , P. 1981 . Day of the week effects and asset returns . Journal of Business , 54 : 579 – 596 .
  • Greasley , D. and Oxley , L. 2000 . Outside the club: New Zealand's economic growth . International Review of Applied Economics , 14 : 173 – 192 .
  • Greene , W. H. 1993 . Econometric Analysis, , 2nd edition , Englewood Cliffs, NJ : Prentice Hall .
  • Hensel , C. R. and Ziemba , W. T. 1995 . United States investment returns during Democratic and Republican administrations, 1928–1993 . Financial Analysts Journal , 51 : 61 – 69 .
  • Hibbs , D. 1977 . Political parties and macroeconomic policy . American Political Science Review , 71 : 1467 – 1487 .
  • Huang , R. D. 1985 . Common stock returns and Presidential elections . Financial Analysts Journal , 41 : 58 – 65 .
  • Hudson , R. , Keasey , K. and Dempsey , M. 1998 . Share prices under Tory and Labour governments in the UK since 1945 . Applied Financial Economics , 8 : 389 – 400 .
  • Jaffe , J. and Westerfield , R. 1985 . The week-end effect in common stock returns: The international evidence . Journal of Finance , 40 : 433 – 454 .
  • Johnson , R. R. , Chittenden , W. and Jensen , G. 1999 . Presidential politics, stocks, bonds, bills and inflation . Journal of Portfolio Management , 26 : 27 – 31 .
  • Johnston , E. T. , Kracaw , W. A. and McConnell , J. J. 1991 . Day-of-the-week effects in financial futures: An analysis of GNMA, T-bond, T-note and T-bill contracts . Journal of Financial and Quantitative Analysis , 26 : 23 – 44 .
  • Judge , G. G. , Griffiths , W. E. , Hill , R. C. , Lutkepohl , H. and Lee , T-C. 1985 . The Theory and Practice of Econometrics , New York : John Wiley and Sons .
  • Keef , S. P. and McGuinness , P. B. 2001 . Changes in settlement regime and modulation of the day-of-the-week effects in stock returns . Applied Financial Economics , 11 : 361 – 372 .
  • Kohers , T. and Patel , J. B. 1996 . An examination of the day-of-the-week effect in junk bond returns over business cycles . Review of Financial Economics , 5 : 31 – 46 .
  • Lakonishok , J. and Levi , M. 1982 . Weekend effects in stock returns: A note . Journal of Finance , 37 : 883 – 889 .
  • Lakonishok , J. and Maberly , E. 1980 . The weekend effect: trading patterns of individual and institutional investors . Journal of Finance , 45 : 231 – 243 .
  • LeRoy , S. F. 1989 . Efficient capital markets and martingales . Journal of Economic Literature , XXVII : 1583 – 1621 .
  • Liano , K. , Liano , K. and Manakyan , H. 1999 . Presidential administrations and the day-of-the-week effect in stock returns . Review of Financial Economics , 8 : 93 – 99 .
  • Lindley , D. V. 1957 . A statistical paradox . Biometrika , 44 : 187 – 192 .
  • Lobo , B. J. 1999 . Jump risk in the US stock market: Evidence using political information . Review of Financial Economics , 8 : 149 – 163 .
  • Lobo , B. J. and Tufte , D. 1998 . Exchange rate volatility: Does politics matter? . Journal of Macroeconomics , 20 : 351 – 365 .
  • Mear , R. 1986 . Foreign exchange market efficiency under flexible exchange rates: Some weak evidence . New Zealand Journal of Business , 8 : 14 – 27 .
  • Melvin , M. and Peiers , B. 1998 . Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence . Atlantic Economic Journal , 26 : 44 – 53 .
  • Miller , E. M. 1988 . Why a weekend effect? . Journal of Portfolio Management , 14 : 42 – 48 .
  • Mills , T. C. and Coutts , J. A. 1995 . Calendar effects in the London stock exchange FT-SE indices . European Journal of Finance , 1 : 79 – 93 .
  • Newey , W. and West , K. 1987 . A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
  • RBNZ . 1998 . Revisions to the Reserve Bank of New Zealand Trade-Weighted Exchange Rate Index (TWI) , Wellington, , New Zealand : Reserve Bank of New Zealand . 21 December 1998
  • Rogalski , R. J. 1984 . New findings regarding day-of-the-week returns over trading non-trading periods: A note . Journal of Finance , 39 : 1603 – 1614 .
  • Samuelson , P. A. 1965 . Proof that properly anticipated prices fluctuate randomly . Industrial Management Review , 6 : 41 – 49 .
  • Samuelson , P. A. 1973 . Proof that properly discounted present values of assets vibrate randomly . Bell Journal of Economics , 4 : 369 – 374 .
  • Sias , R. W. and Starks , L. T. 1995 . The day-of-the-week anomaly: The role of investors . Financial Analysts Journal , 51 : 58 – 67 .
  • Silverstone , B. , Bollard , A. and Lattimore , R. 1996 . A Study of Economic Reform: The Case of New Zealand , Amsterdam : Elsevier Science .
  • Snowdon , B. and Vane , H. R. 1999 . The new political macroeconomics: An interview with Alberto Alesina . American Economist , 43 : 19 – 34 .
  • Stovall , R. H. 1992 . Forecasting stock market performance via the Presidential cycle . Financial Analysts Journal , 48 : 5 – 8 .
  • Studenmund , A. H. 1997 . Using Econometrics: A Practical Guide, , 3rd edition , Reading, Massachusetts : Addison-Wesley .
  • White , H. 1980 . A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity . Econometrica , 48 : 817 – 838 .
  • Winer , B. J. 1971 . Statistical Principles in Experimental Design , 2nd edition , New York : McGraw-Hill .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.