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Table 6 The influence of macroeconomic variables and market volatility on the market return during 2008 general election

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

Variable	Day
Variable	15	30	60	90
Constant	0.34	0.27	0.16	0.30
Constant	0.44	0.34	0.19	0.36
Before (β ₁)	−0.60*	−0.14	−0.21	−0.09
Before (β ₁)	−1.93	−0.57	−0.97	−0.42
After (β ₂)	0.19	0.25	0.27	−0.16
After (β ₂)	0.51	0.79	0.60	−0.52
US stock market return	0.07	0.07	0.06	0.07
US stock market return	1.08	1.11	1.04	1.14
Inflation rate	−0.01	−0.01	−0.02	−0.01
Inflation rate	−0.76	−0.59	−1.14	−0.30
Interest rate	−0.08	−0.06	−0.08	−0.09
Interest rate	−0.15	−0.12	−0.15	−0.17
Unemployment rate	0.03	0.03	0.03	0.04
Unemployment rate	0.72	0.64	0.70	0.74
Exchange rate	−0.16**	−0.14**	−0.19**	−0.14**
Exchange rate	−2.63	−2.15	−2.80	−2.12
Gross domestic product	0.08	0.09	0.11	0.09
Gross domestic product	0.55	0.58	0.72	0.57
Market volatility	−70.85**	−70.63**	−69.72**	−69.16**
Market volatility	−6.00	−6.13	−6.11	−6.03

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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