Mueller, Lukas ; Bartel, Merlin ; Schiereck, Dirk (2023)
Europe's gone 'right' – A comparative study of stock market reactions to populist success in Sweden and Italy.
In: Finance Research Letters, 2023 (55, Part A)
doi: 10.1016/j.frl.2023.103829
Article, Bibliographie
Abstract
We analyze the reactions of national equity markets to the election of far-right populist governments in Italy and Sweden in September 2022. We apply event study methodology to samples of 285 Swedish and 144 Italian stocks. Share prices of Italian stocks largely aligned in the week before the vote. Conversely, the Swedish electoral outcome hit markets by surprise. Share prices adjusted in the days following the vote. We use firm-level increases in intraday volatility before the vote to estimate sensitivities to electoral outcomes. Dollar-neutral long-minus-short strategies based on these sensitivities prove explanatory power of historical intraday volatility in Sweden, where post-event reactions and uncertainty were evident. The model identified those stocks that are most sensitive to the election outcome.
| Item Type: | Article |
|---|---|
| Erschienen: | 2023 |
| Creators: | Mueller, Lukas ; Bartel, Merlin ; Schiereck, Dirk |
| Type of entry: | Bibliographie |
| Title: | Europe's gone 'right' – A comparative study of stock market reactions to populist success in Sweden and Italy |
| Language: | German |
| Date: | 2023 |
| Journal or Publication Title: | Finance Research Letters |
| Volume of the journal: | 2023 |
| Issue Number: | 55, Part A |
| DOI: | 10.1016/j.frl.2023.103829 |
| URL / URN: | https://www.sciencedirect.com/science/article/pii/S154461232... |
| Abstract: | We analyze the reactions of national equity markets to the election of far-right populist governments in Italy and Sweden in September 2022. We apply event study methodology to samples of 285 Swedish and 144 Italian stocks. Share prices of Italian stocks largely aligned in the week before the vote. Conversely, the Swedish electoral outcome hit markets by surprise. Share prices adjusted in the days following the vote. We use firm-level increases in intraday volatility before the vote to estimate sensitivities to electoral outcomes. Dollar-neutral long-minus-short strategies based on these sensitivities prove explanatory power of historical intraday volatility in Sweden, where post-event reactions and uncertainty were evident. The model identified those stocks that are most sensitive to the election outcome. |
| Uncontrolled Keywords: | Event study, OHLC volatility, Populist success, Election outcome |
| Additional Information: | Article ID: 103829 |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance |
| Date Deposited: | 14 Aug 2023 06:35 |
| Last Modified: | 11 Jan 2024 17:18 |
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