Uncertainty shocks of Trump election in an interval model of stock market

doi:10.1080/14697688.2020.1800070

	Uncertainty shocks of Trump election in an interval model of stock market
	Sun, Yuying 1,2; Qiao, Kenan 1,2,4; Wang, Shouyang 1,2,3
刊名	QUANTITATIVE FINANCE
	2020-08-29
页码	15
关键词	Interval dummy variables Interval time series Nonlinear minimum-distance estimator Range volatility Trump election
ISSN号	1469-7688
DOI	10.1080/14697688.2020.1800070
英文摘要	This paper proposes a new class of nonlinear interval models for interval-valued time series. By matching the interval model with interval observations, we develop a nonlinear minimum-distance estimation method for the proposed models, and establish the asymptotic theory for the proposed estimators. Superior to traditional point-based methods, the proposed interval modelling approach can assess the change in both the trend and volatility simultaneously. Within the proposed interval framework, this paper examines the impact of the 2016 US presidential election (henceforth Trump election) on the US stock market as a case study. Considering the validity of daily high-low range as a proxy of market efficiency, we employ an interval-valued return to jointly measure the fundamental value movement and market efficiency simultaneously. Empirical results suggest a strong evidence that the Trump election has increased the level/trend and lowered the volatility of the S&P 500 index in both ex ante and ex post analysis. Furthermore, a longer half-life period for the impact on fundamental value (62.4 days) than high-low range (15.9 days) has shown that the impact of Trump's victory on fundamental value is more persistent than its impact on market efficiency.
资助项目	National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71701199] ; National Natural Science Foundation of China[71871213] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[71973116] ; National Natural Science Foundation of China[201601] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[201601]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
WOS记录号	WOS:000566956600001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/52172]
专题	中国科学院数学与系统科学研究院
通讯作者	Qiao, Kenan
作者单位	1.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 4.Univ Groningen, Fac Econ & Business, Groningen, Netherlands
推荐引用方式 GB/T 7714	Sun, Yuying,Qiao, Kenan,Wang, Shouyang. Uncertainty shocks of Trump election in an interval model of stock market[J]. QUANTITATIVE FINANCE,2020:15.
APA	Sun, Yuying,Qiao, Kenan,&Wang, Shouyang.(2020).Uncertainty shocks of Trump election in an interval model of stock market.QUANTITATIVE FINANCE,15.
MLA	Sun, Yuying,et al."Uncertainty shocks of Trump election in an interval model of stock market".QUANTITATIVE FINANCE (2020):15.