This paper explores the relationship between presidential elections and sovereign credit default swap (CDS) returns, as well as, equity returns in the Latin American countries, Argentina, Brazil, Chile and Mexico. In particular, this paper tests whether or not presidential elections, which potentially represent political uncertainty and risk, affect sovereign CDS returns. I also analyze stock returns during the elections of each country to establish benchmarks that I compare to the CDS returns. Specifically, I evaluate the movement of CDS and equity adjusted returns (i.e. returns measured as deviations from average returns) over 7 presidential elections from 2005 to 2011. The baseline panel regression did not find statistical significance in the dummy election coefficients, but did find significance in the equity intercept coefficient at the 10 percent level. This result suggests that, on average, adjusted equity returns were higher during election periods than adjusted equity returns outside of election periods. I discuss the implications of these results later in the paper.
| Identifer | oai:union.ndltd.org:CLAREMONT/oai:http://scholarship.claremont.edu/do/oai/:cmc_theses-1636 |
| Date | 01 January 2013 |
| Creators | Doran, Zachary |
| Publisher | Scholarship @ Claremont |
| Source Sets | Claremont Colleges |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | CMC Senior Theses |
| Rights | © 2013 Zachary Doran |
Page generated in 0.0022 seconds