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Table 5 The influence of macroeconomic variables and market volatility on the market return during 2004 general election

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

Variable	Day
Variable	15	30	60	90
Constant	0.02	−0.08	−0.07	0.02
Constant	0.07	−0.31	−0.27	0.06
Before (β ₁)	0.47*	0.60**	0.27*	0.07
Before (β ₁)	1.84	3.32	1.78	0.43
After (β ₂)	0.08	−0.12	−0.06	−0.14
After (β ₂)	0.32	−0.49	−0.24	−0.78
US stock market return	0.04	0.03	0.04	0.04
US stock market return	0.85	0.71	0.91	0.97
Inflation rate	0.01	0.01	0.01	0.01
Inflation rate	1.06	0.88	0.94	0.74
Interest rate	−0.02	−0.01	−0.01	−0.01
Interest rate	−1.56	−0.76	−0.52	−0.12
Unemployment rate	0.60	1.17**	0.47	0.54
Unemployment rate	1.20	2.17	0.95	1.03
Exchange rate	−0.02	−0.04	−0.02	−0.02
Exchange rate	−0.08	−0.21	−0.09	−0.07
Gross domestic product	0.01	0.03	0.03	0.03
Gross domestic product	0.11	0.55	0.48	0.46
Market volatility	−4.4	−4.96	−4.08	−3.97
Market volatility	−0.45	−0.52	−0.41	−0.40

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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