Appendix table 1. Breusch-Pagan and corresponding p-values for monthly returns.
Independent Variable Political Simonton (1988) Almahdi (2019) General Score
Chi2(1) 9.99 3.38 0.24 11.48
p-value 0.0016 0.0658 0.6221 0.0007
Appendix figure 1. Scatterplot of time period in months and monthly S&P 500 returns.
Appendix table 2. Dickey Fuller Test and corresponding test statistics for monthly returns.
Statistics dfuller dfuller, trend dfuller, drift
Test Statistic -26.030 -26.035 -26.030
1% Critical Value -3.430 -3.960 -2.332
5% Critical Value -2.860 -3.410 -1.647
10% Critical Value -2.570 -3.120 -1.283
Appendix table 3. Breusch-Pagan and corresponding p-values for monthly volatility.
Independent Variable Political Simonton (1988) Almahdi (2019) General Score
Chi2(1) 34.45 15.88 53.10 0.52
p-value 0.0000 0.0001 0.0000 0.4726
Appendix figure 2. Scatterplot of time period in months and monthly S&P 500 volatility.
Appendix table 4. Dickey Fuller Test and corresponding test statistics for monthly volatility.
Statistics dfuller dfuller, trend dfuller, drift
Test Statistic -12.709 -13.197 -12.709
1% Critical Value -3.430 -3.960 -2.332
5% Critical Value -2.860 -3.410 -1.647
10% Critical Value -2.570 -3.120 -1.283
Appendix figure 3. Overview of the codes used in Stata.
summarize monthlyreturns SD termspread divyield defaultspread realinterest // Breusch-Pagan Test\\
reg monthlyreturns political estat hettest
reg monthlyreturns simonton estat hettest
reg monthlyreturns almahdi estat hettest
reg monthlyreturns generalscore estat hettest
reg SD political estat hettest reg SD simonton estat hettest reg SD almahdi estat hettest
reg SD generalscore estat hettest
// Stationarity check \\
graph twoway scatter monthlyreturns t tsset t
dfuller monthlyreturns dfuller monthlyreturns, trend dfuller monthlyreturns, drift graph twoway scatter SD t tsset t
dfuller SD dfuller SD, trend dfuller SD, drift
// MONTHLY RETURNS AS THE DEPENDENT VARIABLE \\
//control variables & political variable check:
tsset
newey monthlyreturns political, lag(5) reg monthlyreturns political
newey monthlyreturns political termspread, lag(5) reg monthlyreturns political termspread
newey monthlyreturns political termspread divyield, lag(5) reg monthlyreturns political termspread divyield
newey monthlyreturns political termspread divyield defaultspread, lag(5) reg monthlyreturns political termspread divyield defaultspread
newey monthlyreturns political termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns political termspread divyield defaultspread realinterest
//control variables & charisma scores check:
tsset
newey monthlyreturns simonton, lag (5) reg monthlyreturns simonton
newey monthlyreturns simonton termspread, lag (5) reg monthlyreturns simonton termspread
newey monthlyreturns simonton termspread divyield, lag (5) reg monthlyreturns simonton termspread divyield
newey monthlyreturns simonton termspread divyield defaultspread, lag (5) reg monthlyreturns simonton termspread divyield defaultspread
newey monthlyreturns simonton termspread divyield defaultspread realinterest, lag (5) reg monthlyreturns simonton termspread divyield defaultspread realinterest
tsset
newey monthlyreturns almahdi, lag (5) reg monthlyreturns almahdi
newey monthlyreturns almahdi termspread, lag (5) reg monthlyreturns almahdi termspread
newey monthlyreturns almahdi termspread divyield, lag (5) reg monthlyreturns almahdi termspread divyield
newey monthlyreturns almahdi termspread divyield defaultspread, lag (5) reg monthlyreturns almahdi termspread divyield defaultspread
newey monthlyreturns almahdi termspread divyield defaultspread realinterest, lag (5) reg monthlyreturns almahdi termspread divyield defaultspread realinterest
tsset
newey monthlyreturns generalscore, lag (5) reg monthlyreturns generalscore
newey monthlyreturns generalscore termspread, lag (5) reg monthlyreturns generalscore termspread
newey monthlyreturns generalscore termspread divyield, lag (5) reg monthlyreturns generalscore termspread divyield
newey monthlyreturns generalscore termspread divyield defaultspread, lag (5) reg monthlyreturns generalscore termspread divyield defaultspread
newey monthlyreturns generalscore termspread divyield defaultspread realinterest, lag (5) reg monthlyreturns generalscore termspread divyield defaultspread realinterest
//Hypothesis testing //Table 7:
tsset
newey monthlyreturns political, lag(5) reg monthlyreturns political
newey monthlyreturns simonton, lag(5) reg monthlyreturns simonton
newey monthlyreturns almahdi, lag(5) reg monthlyreturns almahdi
newey monthlyreturns generalscore, lag(5) reg monthlyreturns generalscore
newey monthlyreturns political termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns political termspread divyield defaultspread realinterest
newey monthlyreturns simonton termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns simonton termspread divyield defaultspread realinterest
newey monthlyreturns almahdi termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns almahdi termspread divyield defaultspread realinterest
newey monthlyreturns generalscore termspread divyield defaultspread realinterest, lag(5)
reg monthlyreturns generalscore termspread divyield defaultspread realinterest //Table 8:
tsset
newey monthlyreturns political simonton, lag(5) reg monthlyreturns political simonton
newey monthlyreturns political almahdi, lag(5) reg monthlyreturns political almahdi
newey monthlyreturns political generalscore, lag(5) reg monthlyreturns political generalscore
newey monthlyreturns political simonton termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns political simonton termspread divyield defaultspread realinterest
newey monthlyreturns political almahdi termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns political almahdi termspread divyield defaultspread realinterest
newey monthlyreturns political generalscore termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns political generalscore termspread divyield defaultspread realinterest
//Table 9:
newey monthlyreturns i.political##c.simonton, lag(5) reg monthlyreturns i.political##c.simonton
newey monthlyreturns i.political##c.almahdi, lag(5) reg monthlyreturns i.political##c.almahdi
newey monthlyreturns i.political##c.simonton termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns i.political##c.simonton termspread divyield defaultspread realinterest
newey monthlyreturns i.political##c.almahdi termspread divyield defaultspread realinterest, lag(5) reg monthlyreturns i.political##c.almahdi termspread divyield defaultspread realinterest
// MONTHLY VOLATILITY AS THE DEPENDENT VARIABLE \\
// Control variables & political variable check tsset
newey SD political, lag(5) reg SD political
newey SD political termspread, lag(5) reg SD political termspread
newey SD political termspread divyield, lag(5) reg SD political termspread divyield
newey SD political termspread divyield defaultspread, lag(5) reg SD political termspread divyield defaultspread
newey SD political termspread divyield defaultspread realinterest, lag(5) reg SD political termspread divyield defaultspread realinterest
//control variables & charisma scores check:
tsset
newey SD simonton, lag(5) reg SD simonton
newey SD simonton termspread, lag(5) reg SD simonton termspread
newey SD simonton termspread divyield, lag(5) reg SD simonton termspread divyield
newey SD simonton termspread divyield defaultspread, lag(5) reg SD simonton termspread divyield defaultspread
newey SD simonton termspread divyield defaultspread realinterest, lag(5) reg SD simonton termspread divyield defaultspread realinterest
tsset
newey SD almahdi, lag(5) reg SD almahdi
newey SD almahdi termspread, lag(5) reg SD almahdi termspread
newey SD almahdi termspread divyield, lag(5) reg SD almahdi termspread divyield
newey SD almahdi termspread divyield defaultspread, lag(5) reg SD almahdi termspread divyield defaultspread
newey SD almahdi termspread divyield defaultspread realinterest, lag(5) reg SD almahdi termspread divyield defaultspread realinterest
tsset
newey SD generalscore, lag(5) reg SD generalscore
newey SD generalscore termspread, lag(5) reg SD generalscore termspread
newey SD generalscore termspread divyield, lag(5) reg SD generalscore termspread divyield
newey SD generalscore termspread divyield defaultspread, lag(5) reg SD generalscore termspread divyield defaultspread
newey SD generalscore termspread divyield defaultspread realinterest, lag(5) reg SD generalscore termspread divyield defaultspread realinterest
//Hypothesis testing:
//Table 14:
tsset
newey SD political, lag(5) reg SD political
newey SD simonton, lag(5) reg SD simonton
newey SD almahdi, lag(5) reg SD almahdi
newey SD generalscore, lag(5) reg SD generalscore
newey SD political termspread divyield defaultspread realinterest, lag(5) reg SD political termspread divyield defaultspread realinterest
newey SD simonton termspread divyield defaultspread realinterest, lag(5) reg SD simonton termspread divyield defaultspread realinterest
newey SD almahdi termspread divyield defaultspread realinterest, lag(5) reg SD almahdi termspread divyield defaultspread realinterest
newey SD generalscore termspread divyield defaultspread realinterest, lag(5) reg SD generalscore termspread divyield defaultspread realinterest
//Table 15:
tsset
newey SD political simonton, lag(5) reg SD political simonton
newey SD political almahdi, lag(5) reg SD political almahdi
newey SD political generalscore, lag(5) reg SD political generalscore
newey SD political simonton termspread divyield defaultspread realinterest, lag(5) reg SD political simonton termspread divyield defaultspread realinterest
newey SD political almahdi termspread divyield defaultspread realinterest, lag(5)