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Table 4 The influence of macroeconomic variables and market volatility on the market return during 1999 general election

From: The effect of Malaysia general election on stock market returns

Variable	Day
Variable	15	30	60	90
Constant	−0.56	−0.51	−0.16	−0.54
Constant	−1.54	−1.39	−0.36	−1.45
Before (β ₁)	0.76	0.06	0.27	−0.42
Before (β ₁)	1.23	0.15	0.90	−1.53
After (β ₂)	−0.25	0.46	1.02	−0.12
After (β ₂)	−0.46	0.98	1.58	−0.32
US stock market return	0.06	0.06	0.07	0.07
US stock market return	0.69	0.73	0.86	0.88
Inflation rate	−0.01	−0.01	−0.01	−0.01
Inflation rate	−0.71	−0.61	−0.59	−0.63
Interest rate	0.03	0.03	0.03	0.03
Interest rate	1.17	1.16	1.21	1.19
Unemployment rate	0.03	0.03	−0.04	0.04
Unemployment rate	1.3	0.96	−0.75	1.44
Exchange rate	4.60	−0.34	0.81	−0.32
Exchange rate	1.14	−0.09	0.29	−0.12
Gross domestic product	0.12	0.10	−0.12	0.17*
Gross domestic product	1.25	0.96	−0.64	1.74
Market Volatility	15.54	14.53	13.35	15.8
	1.43	1.33	1.25	1.47

Before and after are dummy variables to capture the impact of election effect on stock market return. The t-statistics are given in italic below the respective estimated coefficients
* and ** Significant at 10 and 5% significance level respectively. The significance of the estimated β ₁ and β ₂ implies there is before-election-effect and after-election-effect respectively

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