STOCK MARKET ASYMMETRY & INVESTORS' SENSATION ON PRIME MINISTERIAL TENURE: INDIAN EVIDENCE

Page created by Theodore Wells
 
CONTINUE READING
Stock Market Asymmetry & Investors’ Sensation on
     Prime Ministerial Tenure: Indian Evidence
                                                                            Dr. Subrata Roy *
                                                                            Dr. Indrajit Ghosal **

                                              ABSTRACT

This study empirically examines the growth of return, volatility shocks, market efficiency and in-
vestors’ sentiment on Prime Ministers during their administration as a Prime Minister. Thus, vari-
ous volatility forecasting measures are applied. It is observed that BSE return doesn’t follow ran-
dom walk and inefficient during their tenures as a Prime Minister. ARCH measure confirms about
volatility clustering. According to the EGARCH measure leverage effect doesn’t exists but presence
of this effect based on TARCH during the tenure of few Prime Ministers. Finally, the investors are
trustful to those Prime Ministers who are elected from Indian National Congress according to the
growth of return.

Keywords: BSE, GARCH, Indira Gandhi, Rajiv Gandhi, Narendra Modi.

Introduction

The stock market movement around the globe partly depends on presidential or prime minister
Election. The role of a particular political party is important during their election campaign and
after their wining for stock market growth. Generally, the investors have a positive emotion or
faith on a particular political party or a leader which he /she assumes that this leader is trustable
for the growth of the stock market if he/she becomes the prime Minister. During the tenure of a
Prime Minister, the stock market experiences several confrontations. Since independence, India
has experienced fifteen Prime Ministers (Nerendra Modi presently holding PM office). But Indian
stock market (BSE) releases its value publicly from 3rd April 1979 and thus, we have seen thirteen
Prime Ministers from that date. During this period, the stock market faces diverse information
asymmetry.

At this ground, the present study tries to examine the growth of stock market, market efficiency
and various asymmetric effects during their tenures. Although, this study is restricted to those

*     Associate Professor, Department of Commerce
      School of Commerce & Management Sciences
      Mahatma Gandhi Central University, Motihari, East Champaran, Bihar, India - 845401
**    Assistant Professor, Department of Information Technology
      Amity University, Patna – 801503
                                       Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020   ◆   27
Prime Ministers who have completed their PM offices at least three years.

The study is designed as follows: section 2 describes the objective. Section 3 deals with data and
study period. Section 4 provides methodology. Section 5 analyses the result and finally, section
6ends with a conclusion and recommendation.

Literature Review:

The financial time series like stock and exchange rate tends to occur in volatility clusters due to
changes in the market. This type of phenomenon is first observed by Mandelbrot (1963) and Fama
(1965), and further described by Baillie et al., (1996), Chou (1988) and Schwert (1989). Various
models are employed to study this phenomenon. The empirical applications of the autoregressive
conditional heteroskedasticity (ARCH) model introduced by Eagle (1982) or its extension gener-
alised by Bollerslev (1986) in GARCH model and its various extensions (EGARCH, TARCH, PARCH
etc) by Engle et al. (1987), Glosten et al. (1993), Nelson (1991) tries to forecast stock returns’
volatility. Besides that, it is often observed in the stock returns that volatility is found to be higher
after getting bad news (negative shocks) rather than good news (positive shocks) of the same mag-
nitude. Hence, volatility is affected asymmetrically by the positive and negative shocks. This phe-
nomenon is called leverage effect which is pointed out by Black (1976) that means changes in stock
prices tend to be negatively correlated with the changes in volatility (see Christie 1982 and Nelson
1991). Engle & Ng (1993) explain news impact curve (IMC) with asymmetric response to both good
and bad news. To test the leverage effect, many nonlinear extensions of the GARCH model are
developed. Similarly, Threshold ARCH (TARCH), Threshold GARCH (TGARCH) and PARCH which are
independently developed by Zakoian (1994) and Glosten, Jagannathan and Runkle (1993). Beside
these, large numbers of recent studies have examined different aspects of volatility forecasting
(see Longin 1997, Gazda & Vyrost 2003, Chen & Lian 2005, Brandt & Jones 2006, Engle, Focardi &
Fabozzi 2007, Chang Su 2010, Goudarzi 2011, Ameur & Senanedsch 2014 etc.) and depicted many
evidences by using a range of volatility measures. Risk-return relationship is another property
widely examined in the past. In general, it is assumed that the risk-return trade off is based on the
unconditional distribution of return. In 1980, Merton (cited in Karmaker, 2007) criticizes about the
failure of the previous studies in respect of changes in the level of risk when return is forecasted.
Thus, it is essential to consider heteroskedasticity by using realized returns. Here, GARCH-M model
allows conditional variance to affect the mean (expected return). Generally, the GARCH model is
based on the implicit assumption that the average risk premium is constant for the sample peri-
od. The GARCH-M model lightens up this assumption by allowing the velocity feedback effect to
become operational (Karmakar 2007). The evidences of risk-return relation are mixed with posi-

28   ◆   Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020
tive, negative or zero relation (see French et. al. 1987, Campbell & Hentschel 1992, Nelson 1991,
Glosten et. al. 1993, Baillie & DeGennaro 1990, Chan et. al. 1992, Poon & Taylor 1992, Balaban &
Bayar 2005 etc.).

Lot of studies examines the various diverse asymmetric effects on stock markets around the globe.
But, research on this topic in poor and developing countries are very less. So, further research is
needed in this counter to know the dynamics on information asymmetry. With this notion, the
present study seeks to examine the growth of return, asymmetric effects, market efficiency and
investors sentiment on the Prime Ministers. It is quite uncommon to analyse those aspects during
the tenure of the Prime Ministers. At this ground, the present study is little different and that adds
value in the existing literature.

Objective of the study:

More specifically, the following objectives are achieved:

1. To examine the growth of BSE

2. To analyse the diverse asymmetric effect and market efficiency

3. To observe the investors’ sentiment on Prime Minister

Data & Study Period:

The study considers the daily closing prices of Bombay Stock Exchange (BSE) that covers the tenure
of six full-time Prime Ministers. The raw date is converted into a series of continuously compound-
ed percentage returns. During (from 14th January 1980 to 30th May 2019) these periods there
were six full-time PMs including Narendra Modi who completes his first tenure as Prime Minister
in India on 30th May 2019 but the second term is not consider here. Although, there are twelve
PMs during this study period but most of them don’t complete their five years tenure so exclude
them. Here, four Prime Ministers (Indira Gandhi, Rajiv Gandhi, P. V. Narasimha Rao & Dr. Manmo-
han Singh) are from Indian National Congress (INC) and the remaining two are (Atal Bihari Vajpay-
ee & Narendra Modi) from Bharratiya Janata Party (BJP).The daily closing index price is obtained
from the official website of Bombay Stock Exchange (BSE) and the information regarding Prime
Minister is obtained from the Prime Minister’s office.

                                       Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020   ◆   29
Methodology:
The daily return of the BSE index is computed as under:
                                                 Rt = log(It/It-1)
Where, It is the index value at the current period t and It-1 is the price at the previous period.
Here, Jarque-Bera test statistic is used to observe whether the time series data is normally distributed or
not. The J-B test statistic as follows:
                                                                S 2 K  32 
                                                      J  B  n             
                                                                6     24 
                                                                                                     (1)
Where, n is the number of observations, S is the skewness and K is the kurtosis. To test normality, the
following hypothesis is formulated:
H0: Return series is normally distributed
Ha: Return series is not normally distributed
It is assumed that the time series data is stationary that means its mean, variance and co-variance are time
invariant. To test stationary, a non-parametric approach proposed by Phillips and Perron (1988) is applied
and based on the following statistic:
                                                2
                               ~                 T ( f 0   0 )( se(ˆ ))
                               t  t  0                  1/ 2
                                         f0               2 f0 s                                         (2)
Where, ̂ is the estimate and tα is the t ratio of α, se(ˆ ) is the coefficient of standard error and s is the
standard error of the test regression. γ0 is a consistent estimate of the error variance (computed as, (T-
K)s2/T where k is the number of regressors), f0 is an estimator of the residual spectrum at frequency zero.
Here, the testable hypothesis for unit root may be written as under:
H0: Return series is non stationary or unit root
Ha: Return series is stationary
KPSS test seems more reliable, as it nuances the type of nonstationary. The ADF and PP test only determine
whether a time series is stationary or not, implicitly assuming in their null-hypothesis that the time series
contains a unit-root. Thus, in case the ADF and PP test states that the time series is nonstationary, while the
KPSS does not advocate this hypothesis, it is likely that the time series is level or trend stationary, rather
than being non-stationary (Pfaff, 2008). The KPSS is therefore more delicate in distinguishing (non)
stationary, and seems most appropriate and adequate for further analysis. Kwiatkowski et al. (1992)
propose the following model:
                                                           y t = ξ t + rt + e t                                 (3)
                                                            rt = rt-1 + μt
Here, rt corresponds with a random walk process and for the error term, et, is assumed that it is
independent and identically distributed (i.i.d) with 0 mean constant standard deviation. The initial value of
rt, which is r0, is the level of the time series and is fixed. The null hypothesis, H0, posits that et is stationary
meaning that yt is level-stationary in case ξ is 0 and trend-stationary otherwise.
H0: Return series is stationary
Ha: Return series is non-stationary or has a unit root
Now the growth model is developed to estimate the rate of growth of return of BSE as well as growth of
BSE index in value during the tenure of the full-time Prime Ministers. Here, the basic model is as under:
                                                  Log(Rit) = αi + β(T) + ei                               (4)
Where, Rit is the return of the BSE at time t which is converted to log, T is the time period (duration of each
PM) and e is the error term with its usual assumptions.
30   ◆   Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020
                                                                                                                  41
Equation 4 is a semi-log model because only dependent variable is in the log shape. After estimating
equation 4, the residuals are considered for testing like serial or auto-correlation test, heteroskedasticity
test, stationarity test and normality test to make the semi-log model suitable. For testing stationarity,
correlogram analysis is used and the testable hypothesis is as under:
H0: Residual is stationary
Ha: Residual is not stationary
Generally, the prices of stocks swing widely for an extended time period followed by a period of relative
calm which looks like a stepping of a drunker person meaning that it follows random walk or non-
stationary. To capture such varying variance Autoregressive Conditional Heteroskedasticity (ARCH) model is
applied (Engle 1982). Although, heteroskedasticity has no autoregressive structure that means
heteroskedasticity observed over different periods is auto-correlated meaning that presence of ARCH
effect.
 To test ARCH effect the following regression equation (OLS) is formulated and estimated after making the
series stationary by taking the first difference:
                            Ri,t =β1 + β2Ri,t-1 + β3Ri,t-2 + .................... + βpRi,t-p + et         (5)
                                       2
It is assumed that et~N(0, α0 + α1μ t-1). Here, the variance of e at time t depends on squared distributions at
time t-1 that causes serial correlation and thus, the variance of ‘e’ not only depends on one lagged squared
disturbance term but also on several lagged squared disturbance terms which may be written as under:
                         Var(μt) = σ2t = α0 + α1e2t-1 + α2e2t-2 + ..................... + αpe2t-p         (6)
Equation 6is the ARCH model of order p and the ARCH effect is tested by examining the validity of the null
hypothesis H0: α1 = α2 = .........= αp = 0. To test this Engle proposed to run the auxiliary regression (Regressed
Squared Standardized Residuals on a constant) at p lags.
                        e 2 t   0  1e 2 t 1   2 e 2 t  2  ..........   p e 2 t  p                        (7)
If there is no ARCH effect in the residuals then ARCH model is mis-specified. After testing for unit root and
ARCH effect then GARCH model may be applied.
The ARCH specification looks like a moving average specification as compared to the auto-regression and
thus, considers lagged conditional variance as autoregressive term in the ARCH model (Bollerslev, 1986).
The GARCH model is based on the assumption that changes of variances depend on the lagged variances of
the capital assets. Unexpected swings of stock prices generate more volatility in the upcoming periods. The
GARCH (p, q) model may be written as follows:
                                                     p                  q
                                   2 t   0   i e 2 t i    i 2 t i vi                              (8)
                                                    i 1               i 1

Where, α0 is the mean. p is the degree of ARCH process (lagged terms of squared errors) and q is the degree
of GARCH process (lagged terms of conditional variances) and vi is the random error. Here, ARIMA
technique is applied to determine the degree of p and q (see Box-Jenkins, 1970). The most widespread
GARCH(1,1) model can be written as:
                                       2 t   0  1e 2 t 1  1 2 t 1  vt                               (9)
As the variance is expected to be positive then it is assumed that the regression coefficient α0, β1 and α1will
be always positive, while the stationarity of the variance is preserved, if the coefficients β1 and α1 are
smaller than 1. Here, (α1+β1) expresses the influence of variability of index or return from the previous
period on the current value of the variability which is usually close to 1.
The GARCH models are unable to observe frequently asymmetric effects when a different volatility is
recorded systematically. According to the martingale model, decrease and increase of return / index price
may be treated as bad and good news respectively. If decrease (negative shocks) in return is accompanied
                                                  Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020    ◆     31
                                                                                                                           42
by an increase in volatility which is greater than the volatility induced by an increase in return is called
leverage effect measured by EGARCH and TGARCH models.
Let Rt is the return of BSE index at time t.                                                           (10)
                                                    Rt = σ΄It-1 + ξt
                                                  ξt = σtZt                                            (11)
                                             Zt/ Ωt-1 ~ Ѱ(0,1,ѵ)                                       (12)
The conditional variance may be written as follows:
                                  p
                                           et 1     q                              r
                                                                                         et 1
              log       i
                     2
                                                      j log(     2
                                                                         t 1   ) k             vt
                                 i 1      t 1     j 1                         k 1    t 1
                                                                                           (13)
Equation 10 indicates that conditional variance is an exponential function of the BSE returns or values that
automatically ensures its positive character. Where,  2 t is the conditional variance. Zt is the standardized
residual and ѵ denotes a vector of parameters that specifies the probability density function. ω, α, β and γ
are the parameters to be estimated. Here, α represents the symmetric effect or ARCH effect. β measures
the persistence in conditional volatility or GARCH effect. An asymmetric effect is indicated by the non-zero
value of γ and the presence of leverage effect is given by its negative value. When γ ˂ 0 then positive shocks
(good news) generate less volatility than the negative shocks (bad news) and when γ ˃ 0 then positive
innovations are more destabilizing than the negative innovations.
        The positive and negative shocks in stock market have diverse effects on volatility and to deal with
this event, Glosten, Jagannathan and Runkle (1993) and Zakoian (1994) independently introduce the
Threshold GARCH or TGARCH model1 that captures the possible asymmetric shocks to volatility by adding
an additional term. The TGARCH(1,1) model is expressed as under:
                                          p                 q                      r
                          2 t   0    i e 2 t i    j  2 t  j    k e 2 t  k I t  k        (14)
                                         i 1               j 1                  k 1

Where, (a) It-1 = 1, if et-1 ˂ 0 or negative (bad news)
(b) It-1 = 0, if et-1 ˃ 0 or positive (good news)
The leverage effect is captured by γ coefficient.
The study also uses dummy variable to capture investors’ sentiment on Prime Minister regarding growth of
BSE return that may be shown as under:
                                               RBSE = α + β1IG1BSE+ et (15)
                                     RBSE = α + β1RG2BSE + et (16)
                                     RBSE = α + β1NR3BSE + et (17)
                                     RBSE = α + β1AV4BSE + et (18)
                                     RBSE = α + β1MS5BSE + et (19)
                                     RBSE = α + β1NM6BSE + et (20)
Where, RBSE represents return of BSE index
IG1BSE = 1 if the investors positive sentiment on Indira Gandhi for BSE growth
         = 0 otherwise
RG2BSE = 1 if the investors positive sentiment on Rajiv Gandhi for BSE growth
            = 0 otherwise
NR3BSE = 1 if the investors positive sentiment on P.V. N. Rao for BSE growth
            = 0 otherwise

32
1     ◆ Indian this
  Alternatively Journal of Accounting (IJA) Volume: 52 (2) December 2020
                    model is called GJR (Glosten, Jagannathan & Runkle, 1993) or TGARCH model.

                                                                                                                43
AVsentiment
AV4BSE = 1 if the investors positive   4BSE = 1 if the
                                                     on investors    positive
                                                         A. B. Vajpayee     for sentiment
                                                                                 BSE growthon A. B. Vajpayee for BSE growth
         = 0 otherwise                         = 0 otherwise
                                   MSsentiment
MS5BSE = 1 if the investors positive    5BSE = 1 if the   investors
                                                      on Dr. M. Singh positive
                                                                          for BSEsentiment
                                                                                    growth on Dr. M. Singh for BSE growth
         = 0 otherwise                         = 0 otherwise
                                   NMsentiment
NM6BSE = 1 if the investors positive     6BSE = 1 if the
                                                      on investors
                                                           Narendra positive
                                                                       Modi forsentiment
                                                                                   BSE growth on Narendra Modi for BSE growth
          = 0 otherwise                         = 0 otherwise
Result & Discussion:               Result & Discussion:
                                   The
The descriptive statistics of BSE is      descriptive
                                      presented          statistics
                                                     in table  1. It of BSE is presented
                                                                     is observed    that theindaily
                                                                                                tablemean
                                                                                                       1. It is observed
                                                                                                             return  of BSEthat
                                                                                                                             is the daily mean re
quite stable during the tenure ofquite      stableMinisters.
                                     the Prime      during theThe tenure    of the
                                                                       highest      Prime
                                                                                 mean       Ministers.
                                                                                        return          The highest
                                                                                                is provided             mean return is provided
                                                                                                                during the
tenure of P.V. Narasimha Rao from  tenure
                                        Indianof P.V.  Narasimha
                                                  National   congress Rao(INC)
                                                                           fromandIndian
                                                                                      the National   congress
                                                                                           lowest return         (INC) and
                                                                                                            is provided     the lowest return is p
                                                                                                                          during
the occupancy of Narendra Modithe    fromoccupancy
                                             BharotioofJanata
                                                            Narendra
                                                                  PartyModi
                                                                          (BJP).from
                                                                                  The Bharotio
                                                                                       BSE’s riskJanata   Party (BJP).
                                                                                                   has reached           The BSE’s risk has reach
                                                                                                                   to highest
                                   level during
level during the tenure of Dr. Monmohan             the and
                                                 Singh   tenure   of Dr.
                                                              lowest       Monmohan
                                                                        during   the timeSingh   and lowest
                                                                                            of Narendra         duringBihari
                                                                                                           ModiAtl      the time of Narendra Mo
Vajpayee. The JB statistics of theVajpayee.       The JB statistics
                                     return distribution      duringof    the
                                                                        the    returnofdistribution
                                                                             tenure                   during theare
                                                                                         the Prime Ministers        tenure  of the Prime Ministe
                                                                                                                      very large
and the probabilities of obtaining andsuchthestatistics
                                               probabilities
                                                          underofthe
                                                                   obtaining
                                                                       normalitysuch  statistics under
                                                                                    assumption           the normality
                                                                                                   are significantly   zeroassumption are signifi
                                   meaning that
meaning that rejection of null hypothesis        (H0: rejection
                                                       Normally of    null hypothesis (H0: Normally distributed).
                                                                   distributed).
Table 1 Descriptive Statistics of Table     1 Descriptive Statistics of BSE Return
                                    BSE Return
   Prime Minister                  OB     Prime Minister
                                         Mean    Max                    OB
                                                                     Mean
                                                                       Std. Max
                                                                        Min    Skew.     Min
                                                                                         Kurt.   Std.
                                                                                                    J-B Skew.                                Ku
                                                                       Dev                       Dev
Indira Gandhi                      906   Indira Gandhi
                                         0.0922                906 0.0922
                                                  11.0530 -7.2100     1.1257 11.0530
                                                                               0.8834 -7.2100
                                                                                        17.1613 1.1257
                                                                                                 7688.360.8834                             17.1
                                                                                                  (0.000)
Rajiv Gandhi                   1063      Rajiv Gandhi
                                         0.1057               1063 0.1057
                                                   9.1329 -5.8220     1.6586 9.1329
                                                                               0.3238 -5.8220
                                                                                         4.531 1.6586
                                                                                                  122.47 0.3238                              4.5
                                                                                                  (0.000)
P.V. Narasimha Rao 1065                  P.V. Narasimha
                                         0.1172   13.1353Rao-12.7680
                                                              1065 0.1172
                                                                      1.0140 13.1353
                                                                               0.3072 -12.7680
                                                                                        9.0564 1.0140
                                                                                                 1644.430.3072                              9.0
                                                                                                  (0.000)
Atal Bihari                    1540      Atal Bihari8.2541 -11.1385
                                         0.0320               1540 0.0320
                                                                      1.7334 8.2541
                                                                              -0.2489 -11.1385
                                                                                        6.0108 1.7334
                                                                                                  597.59 -0.2489                            6.0
Vajpayee                                 Vajpayee                                                 (0.000)
Dr. Manmohan                   2494      Dr. Manmohan
                                         0.0767               2494 0.0767
                                                  17.3393 -10.9564    1.5766 17.3393
                                                                               0.3152 -10.9564
                                                                                        12.1145 1.5766
                                                                                                 8674.080.3152                             12.1
Singh                                    Singh                                                    (0.000)
Narendra Modi                  1503      Narendra 8.9748
                                         0.0292     Modi      1503 0.0292
                                                            -13.1525  1.1134 8.9748
                                                                              -1.2828 -13.1525
                                                                                        25.8057 1.1134
                                                                                                 32983.55-1.2828                           25.8
                                                                                                  (0.000)
Probabilities in parenthesis;            Probabilities in parenthesis;
Source: Author’s own calculation         Source: Author’s own calculation

                                  Table 2 stationarity
Table 2 provides information regarding      provides information
                                                           and market  regarding
                                                                          efficiency.stationarity   and market
                                                                                        It is observed    that theefficiency.
                                                                                                                    computedIt is observed tha
ADF and PP test statistics in levelADF  and(absolute
                                    forms    PP test statistics   in level
                                                        value) during       forms
                                                                          the  tenure(absolute    value)
                                                                                         of all the Prime during  the tenure
                                                                                                            Ministers   are of all the Prime M
higher than the critical value andhigher   than the
                                    statistically     critical value
                                                  significant   at fiveand   statistically
                                                                         percent            significant
                                                                                    level that   means at   five percent
                                                                                                          rejection  of nulllevel that means rej
                                  hypothesis
hypothesis (H0: δ = 0 or ρ = 1) and  thus, the (H  0: δseries
                                                time    = 0 ordon’t
                                                                ρ = 1)appear
                                                                        and thus,    the time
                                                                                 to have         series
                                                                                            a unit rootdon’t   appear
                                                                                                         and don’t      to have a unit root and
                                                                                                                     follow
random walk and thus, inefficient random
                                     at theirwalk
                                               weakand   thus,Based
                                                      forms.   inefficient
                                                                       on KPSSat their
                                                                                  test weak     forms.
                                                                                        statistics,  theBased   on KPSSalso
                                                                                                          LM-statistics   test statistics, the LM
reject the null hypothesis as thereject   the nullare
                                   LM-statistics    hypothesis
                                                        lower thanas the
                                                                      the LM-statistics      are lower
                                                                            asymptotic critical     valuethan  the percent
                                                                                                           at one   asymptotic critical value a
level of significance and may be level   of significance
                                   said that  the returnsand    maythe
                                                            during     be tenure
                                                                           said that ofthe
                                                                                        thereturns
                                                                                             PMs of during    thefollow
                                                                                                      BSE don’t    tenure of the PMs of BSE d
random walks and inefficiency israndom
                                    seen at walks
                                             weak and
                                                    forms inefficiency
                                                            during their is seen   at weak forms during their occupancy.
                                                                            occupancy.

                                                     Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020     ◆    33
Table 2 Test
                     Table     of Stationarity
                           2 Test              &Table
                                   of StationarityMarket  Efficiency
                                                   & Market
                                                       2 Test
                                                      Table  2Efficiency
                                                               of Stationarity
                                                               Test            & Market
                                                                     of Stationarity    Efficiency
                                                                                     & Market Efficiency
                         Prime Minister
                            Prime Minister               PrimePrime
                                                                  Minister                                                     Unit
                                                                                                                                  UnitRoot  Test
                                                                                                                                         Root Test                                 Unit Root   Test Test
                                                                         Minister                                                                                                        Unit Root
                                                             ADF    Test
                                                                  ADF   Test                                                          PP Test
                                                                                                                                         PP Test
                                                                                                                                       ADF  Test Test                                KPSS  Test
                                                                                                                                                                                        KPSS  Test
                                                                                                                                                                                         PP Test                                             KPS
             Table 2 Test of Stationarity & Market Efficiency                                                                               ADF                                                PP Test
           Indira   Gandhi
                   Prime   Table  2 Test of Stationarity & Market
                             Minister                              Efficiency
                                                           -16.77177**                                                        Unit-282.7538**
                                                                                                                                   Root   Test                                        0.1810
               Indira    GandhiPrime Minister IndiraIndira
                                                         Gandhi-16.77177**
                                                               Gandhi                                                                 -282.7538**
                                                                                                                               Unit-16.77177**
                                                                                                                                     Root -16.77177**
                                                                                                                                          Test                                           0.1810
                                                                                                                                                                                      -282.7538**
                                                                                                                                                                                            -282.7538**                                         0.
           Rajiv  Gandhi
               Rajiv   Gandhi                              -19.91093**
                                                 Rajiv RajivADF
                                                        Gandhi    Test
                                                               -19.91093**                                                        -206.7896**
                                                                                                                                    PP  Test
                                                                                                                                      -206.7896**
                                                                                                                                    -19.91093**                                   KPSS0.2403
                                                                                                                                                                                         Test
                                                                                                                                                                                         0.2403
                                                              Gandhi
                                                                  ADF Test                                                                -19.91093**
                                                                                                                                     PP Test                                     KPSS -206.7896**
                                                                                                                                                                                      Test -206.7896**                                          0.
           P.V.P.V.
          Indira Narasimha
                  Gandhi
                      Narasimha   Rao                      -16.13296**
                                                          -16.77177**                                                             -147.4540**
                                                                                                                                -282.7538**                                           0.2620
                                                                                                                                                                                    0.1810
                      Indira GandhiRao           P.V. Narasimha
                                                        P.V.   -16.13296**
                                                                     Rao Rao
                                                             Narasimha
                                                                -16.77177**                                                           -147.4540**
                                                                                                                                    -16.13296**
                                                                                                                                          -16.13296**
                                                                                                                                  -282.7538**                                     0.18100.2620
                                                                                                                                                                                      -147.4540**
                                                                                                                                                                                            -147.4540**                                         0.
           AtalAtal
          Rajiv  Bihari
                 Gandhi    Vajpayee
                      Bihari    Vajpayee                   -18.44720**
                                                          -19.91093**
                                                 Atal Bihari   -18.44720**
                                                              Vajpayee                                                            -385.3635**
                                                                                                                                -206.7896**
                                                                                                                                      -385.3635**
                                                                                                                                    -18.44720**                                       0.1145
                                                                                                                                                                                    0.2403
                                                                                                                                                                                         0.1145
                                                                                                                                                                                      -385.3635**                                               0.
                      Rajiv Gandhi                      Atal Bihari  Vajpayee
                                                                -19.91093**                                                               -18.44720**
                                                                                                                                  -206.7896**                                     0.2403 -385.3635**
           Dr. Dr.
          P.V. Manmohan
                Narasimha
                     Manmohan     Singh
                                 Rao   Singh               -22.95915**
                                                          -16.13296**
                                                               -22.95915**                                                        -562.8931**
                                                                                                                                -147.4540**
                                                                                                                                      -562.8931**                                     0.1733
                                                                                                                                                                                    0.2620
                                                                                                                                                                                         0.1733
                      P.V. Narasimha       Rao Dr. Manmohan
                                                        Dr. Manmohan SinghSingh
                                                                -16.13296**                                                         -22.95915**
                                                                                                                                          -22.95915**
                                                                                                                                  -147.4540**                                         -562.8931**
                                                                                                                                                                                  0.2620    -562.8931**                                         0.
          Atal  Bihari Modi
           Narendra       Vajpayee                        -18.44720**
                                                            -13.9228**                                                          -385.3635**
                                                                                                                                   -40.3029**                                       0.1145
                                                                                                                                                                                      0.0419
               Narendra        ModiVajpayee Narendra
                      Atal Bihari                       Narendra-13.9228**
                                                             Modi
                                                                -18.44720**
                                                                    Modi                                                               -40.3029**
                                                                                                                                     -13.9228**
                                                                                                                                  -385.3635**
                                                                                                                                           -13.9228**                             0.1145 0.0419
                                                                                                                                                                                       -40.3029**                                               0.
          Dr. Manmohan Singh
               ** Significance at 5% level                -22.95915**                                                           -562.8931**                                         0.1733 -40.3029**
             Source:Dr.    Manmohan              Singh                               -22.95915**                                        -562.8931**                                      0.1733
                  ** Significance      at 5% level                 ** Significance       at 5% level
                                                                              ** Significance       at 5% level
                      Author’s     own calculation
        Narendra       Modi
                  Source:    Author’s own calculation Source:-13.9228**        Author’sAuthor’s
                                                                              Source:                  own calculation -40.3029**
                                                                                           own calculation                                                                                    0.0419
                     Narendra Modi
            ** Significance at 5% level
                                                                                      -13.9228**                                         -40.3029**                                      0.0419
             TheThegrowth         ratecalculation
                           ** Significance
                          growth           ofatreturn
                                         rate
                                                 5% level of BSE (in percentage) during the tenure of the prime Ministers is depicted in
                                                 of calculation
                                                      return of        BSE      (in percentage)                during         theof(in tenure
                                                                   The     growth         rate ofrate    return         of BSE                   (inofpercentage)
                                                                                                                                             percentage)   the prime during    Ministers
                                                                                                                                                                                   the tenure theis tenure
                                                                                                                                                                                                       depicted
                                                                                                                                                                                                          of theofprime   in      Ministers    is de
            Source: Author’s      own
                           Source: Author’s     own                           The     growth                   of    return              BSE                                    during                                    the prime       Ministers
             table    three.
                  table three.    It  is  seen
                                         It isreturnthat
                                                 seen that   the   time
                                                                  the         coefficients            are     not      significant            as  the      probabilities            values         are     higher
            The growth          rate of                   of BSE       (intime
                                                                   table      three.
                                                                              table  coefficients
                                                                             percentage)  It is seen
                                                                                         three.      It   isare
                                                                                                      during  that
                                                                                                              seen   not
                                                                                                                     thethe  significant
                                                                                                                          that  time
                                                                                                                             tenurethe coefficients
                                                                                                                                            time
                                                                                                                                             of theascoefficients
                                                                                                                                                         the
                                                                                                                                                          prime  probabilities
                                                                                                                                                                   are   not
                                                                                                                                                                     Ministers      notisvalues
                                                                                                                                                                             aresignificant  significant
                                                                                                                                                                                             depicted    arethe
                                                                                                                                                                                                         as     higher
                                                                                                                                                                                                                  inasprobabilities
                                                                                                                                                                                                                         the probabilitiesvaluesvalu
                                                                                                                                                                                                                                                   ar
             thanthanfiveThe      growth(in
                             percent
                           fiveIt percent
                                               rate   of return of BSE
                                                   parenthesis)
                                                   (in parenthesis)        of    (in the
                                                                                all   percentage)
                                                                                 ofpercent
                                                                                      all    PMs
                                                                                           the     PMs  and  during
                                                                                                              andthe      the tenure ofof
                                                                                                                         percentage
                                                                                                                        the percentage
                                                                                                                                                  thegrowth
                                                                                                                                                        of
                                                                                                                                                          prime Ministers
                                                                                                                                                             growth   rate     is    is depicted
                                                                                                                                                                                    negative               in
                                                                                                                                                                                                       during         the
            table three.
                           table
                                    is seen that
                                    three.     It is seen
                                                          the time thancoefficients
                                                              that14
                                                                             five
                                                                              than
                                                                      theth time        five         (innot
                                                                                                percent
                                                                                                   are      parenthesis)
                                                                                                                 (in
                                                                                                                 not parenthesis)
                                                                                                                    significant         ofasallthethe   allPMs theand
                                                                                                                                                  of probabilities   PMsrate
                                                                                                                                                                           the and  isthe
                                                                                                                                                                                values  negative
                                                                                                                                                                                    percentage
                                                                                                                                                                                          arepercentage
                                                                                                                                                                                               are     higherduring
                                                                                                                                                                                                             of growth  ofthe   rate israte
                                                                                                                                                                                                                             growth       negative
                                                                                                                                                                                                                                             is neg
                                                                                th coefficients           areuntil       significant  th as the         probabilities         values
                                                                                                                              th                                                                sthigher
             tenure     of    Indira      Gandhi        (From                January         1980        to               24      March
                                                                                                                                    th           1984),         Rajiv    Gandhi         (31
                                                                                                                                                                                         th         October
                                                                                                                                                                                                      st              1984                  (31st O(3
            thantenure
                   five than    of Indira
                           percent         (in  Gandhi
                                                 parenthesis)  (From
                                                                   tenure
                                                                        of 14all
                                                                              tenure
                            nd five percent (in parenthesis) of all the PMs and
                                                                                    January
                                                                                 oftheIndira
                                                                                          PMs
                                                                                           of      1980
                                                                                                  Gandhi
                                                                                                    and
                                                                                                 Indira        to(From
                                                                                                             the
                                                                                                              Gandhi until     24
                                                                                                                      percentage14 March
                                                                                                                              (From        January
                                                                                                                 st the percentage of growth 14ofth    1984),
                                                                                                                                                    growth 1980rate
                                                                                                                                                     January        Rajiv
                                                                                                                                                                     to until
                                                                                                                                                                     1980  is  Gandhi
                                                                                                                                                                                    24
                                                                                                                                                                                negative
                                                                                                                                                                                to   until
                                                                                                                                                                thrate is negative during the
                                                                                                                                                                                               (31
                                                                                                                                                                                             March
                                                                                                                                                                                                24   th
                                                                                                                                                                                                   duringOctober
                                                                                                                                                                                                             1984),
                                                                                                                                                                                                         March    the     1984Gandhi
                                                                                                                                                                                                                          Rajiv
                                                                                                                                                                                                                        1984),     Rajiv  Gandhi
             to until  of2tenure
                  to until       December
                                 2nd ofDecember      1989),1989), P.V.
                                                                   to  th Narasimha
                                                                        P.V.
                                                                        until    th2
                                                                                     nd
                                                                                 Narasimha
                                                                                         DecemberRao   Rao(21   (21
                                                                                                               1989),June
                                                                                                                        st th 1991 to until 16 May
                                                                                                                           Juneth 1991
                                                                                                                             P.V.       Narasimhato   until      16th(21
                                                                                                                                                               Rao      May st1996)st and
                                                                                                                                                                                  1996)
                                                                                                                                                                               June    st1991   and Dr.
                                                                                                                                                                                                      toDr.Manmohan
                                                                                                                                                                                                                Manmohan
                                                                                                                                                                                                            until     16  th
                                                                                                                                                                                                                       untilMay 16th1996)    and Dra
                                                                                                                                                                                            st
            tenure          Indira      Gandhi
                                           Indira     (From
                                                      Gandhi      14      January
                                                                              to    until 1980
                                                                                            2  nd    to
                                                                                                   Decemberuntil       24      March
                                                                                                                           1989),         P.V. 1984),
                                                                                                                                                  Narasimha Rajiv     Gandhi
                                                                                                                                                                        Rao      (21 (31  June  October
                                                                                                                                                                                                      1991        1984
                                                                                                                                                                                                                  to                  May 1996)
                          rd                               th (From 14 January 1980 to until 24 March 1984), Rajiv Gandhi                                                         (31      October         1984
             Sing
            to until(23   nd May
                  Sing2 (23      rd 2004 to 25 May
                               December
                                    May   nd 2004  1989),
                                                        to   25  th 2014)rdwhord
                                                                P.V. May
                                                                   Sing Narasimha
                                                                            (232014)  May who elected
                                                                                              Rao
                                                                                                2004  (21
                                                                                                    electedto
                                                                                                             stfrom
                                                                                                                 June
                                                                                                                 25    th INC.thSimilarly, the
                                                                                                                    stfrom  1991
                                                                                                                          May   INC.2014)to   until
                                                                                                                                            Similarly,
                                                                                                                                                 who    16   th growth rate of return during the
                                                                                                                                                                May
                                                                                                                                                             ththe
                                                                                                                                                            elected      1996)
                                                                                                                                                                     growth
                                                                                                                                                                          from        and
                                                                                                                                                                                    rate
                                                                                                                                                                                     INC.      Dr.
                                                                                                                                                                                              of       Manmohan
                                                                                                                                                                                                    return
                                                                                                                                                                                               Similarly,          during
                                                                                                                                                                                                                    the        the
                                                                                                                                                                                                                           growth      rate of  retu
                           to until 2 December 1989), P.V.                 th Sing     (23 May
                                                                                  Narasimha          Rao2004 (21 June   to 25nd1991   May       2014)
                                                                                                                                           to until      16who  Mayelected
                                                                                                                                                                       1996) and     from Dr. INC.
                                                                                                                                                                                                 ManmohanthSimilarly, the growth rate o
             tenure
            Sing tenure of
                        rd
                  (23 Sing    Atal
                            May of(23 Bihari
                                     2004
                                    Atalrd Bihari  Vajpayee
                                                to2004   th
                                                    25Vajpayee
                                                             May    (19
                                                                    th2014)(19 March
                                                                                  who
                                                                                 th
                                                                                     March  1998
                                                                                           elected1998  to   until
                                                                                                           from
                                                                                                              tofrom     22
                                                                                                                        INC.
                                                                                                                    until     22  May
                                                                                                                                 Similarly,
                                                                                                                                   nd   th
                                                                                                                                         May 2004)ththe   andgrowthNarendrarate      Modi
                                                                                                                                                                                    of  ndreturn   (26        May
                                                                                                                                                                                                         duringth       2014
                                                                                                                                                                                                                       the2014
                     th
                                           May              to  25tenureMay      of
                                                                              tenure
                                                                                2014) Atal ofBihari
                                                                                          who    Atal
                                                                                                   elected  Vajpayee
                                                                                                          Bihari        Vajpayee
                                                                                                                            INC.(19          (192004)
                                                                                                                                            March
                                                                                                                                    Similarly,            1998
                                                                                                                                                      March
                                                                                                                                                      the       and1998
                                                                                                                                                             growth toNarendra
                                                                                                                                                                         until
                                                                                                                                                                         rate  toof22
                                                                                                                                                                                    until  Modi
                                                                                                                                                                                      return May
                                                                                                                                                                                               22during (26
                                                                                                                                                                                                    nd2004)
                                                                                                                                                                                                         Maythe    May
                                                                                                                                                                                                                     and
                                                                                                                                                                                                                    2004)    Narendra
                                                                                                                                                                                                                               and NarendraModi Mo(26
             to 30
            tenure      May
                       of   Atal
                            th
                  to 30tenure     2019)
                                    Bihari
                                Mayof2019)    who      are
                                                Vajpayee      elected
                                                    who Vajpayee
                                                             areto(19   th th
                                                                    elected
                                                                        30(19from
                                                                            March   fromBJP
                                                                                          1998  is
                                                                                              BJP   positive.
                                                                                                    to    until
                                                                                                      iswho
                                                                                                          positive.   22Although,
                                                                                                                           nd
                                                                                                                               May
                                                                                                                             Although,        the
                                                                                                                                          2004)   thepercentage
                                                                                                                                                      and       Narendra
                                                                                                                                                           percentage      rate      of
                                                                                                                                                                                  Modi
                                                                                                                                                                                  rate     return
                                                                                                                                                                                              (26    th
                                                                                                                                                                                           ofAlthough,
                                                                                                                                                                                                 return   during
                                                                                                                                                                                                         May        2014
                                                                                                                                                                                                                during  their
                                                                                                                                                                                                                            their rate ofrate
                                                                              toMay       2019)                  are
                                                                                                                  whoelected               from      BJP     isNarendra
                                                                                                                                                                 positive.        Although,             the2014 percentage                   return
                                                                                   th th                                      nd                                                                th
                                           Atal Bihari                             30 MarchMay    1998
                                                                                                     2019)  to until      22are   May
                                                                                                                                    elected  2004)     and
                                                                                                                                                     from       BJP            Modi
                                                                                                                                                                       is positive.      (26        May             the percentage                of
            to  30 th
                       May      2019)       who      are         2 2 from BJP is positive. Although,
                                                            elected                                                                        the   percentage             rate      of   return         during         their
             tenure     is tonot30  lucrative.
                                   th
                                       May
                  tenure is not lucrative. The 2019)   The
                                                         who   R arevalue
                                                                       elected
                                                                     R value    during
                                                                                     from
                                                                                      during  the
                                                                                              BJP    tenure
                                                                                                    is
                                                                                                   the  positive.
                                                                                                            tenure   of
                                                                                                                 The Rof   all
                                                                                                                             2  the
                                                                                                                          Although,      2PMs
                                                                                                                                 allRthevaluethe  is    not
                                                                                                                                                  percentage
                                                                                                                                               PMsduring isthe  satisfactory
                                                                                                                                                             nottenure rate    of
                                                                                                                                                                    satisfactory       and
                                                                                                                                                                                   return   and  the
                                                                                                                                                                                                 during
                                                                                                                                                                                                      theF   statistics
                                                                                                                                                                                                              their
                                                               2 tenure          is not
                                                                              tenure       islucrative.
                                                                                                not     lucrative.           Thevalue        during
                                                                          2 during the tenure of all the PMs is not satisfactory and the F statistics
                                                                                                                                                                     the tenure of all the of    allPMstheFisPMs  statistics
                                                                                                                                                                                                                   notissatisfactory       and the
                                                                                                                                                                                                                             not satisfactory      an
            tenure
             are are   is tenure
                           not lucrative.
                  insignificant.       is   The
                                          not        The R The
                                                   residuals
                                                 lucrative.       value
                                                                     areR   not
                                                                             value   serially
                                                                                       during      correlated
                                                                                                  the     tenure        of during
                                                                                                                            all  the      the
                                                                                                                                         PMs     tenure
                                                                                                                                                 is  not         of  Indira
                                                                                                                                                            satisfactory          Gandhi,
                                                                                                                                                                                and    the     F    Atal
                                                                                                                                                                                                   statisticsBihari
                         insignificant. The residuals                       are
                                                                              arenot
                                                                   are insignificant.     serially
                                                                                     insignificant. Thecorrelated
                                                                                                             residuals
                                                                                                                The residuals    during
                                                                                                                                 are not     arethe not tenure
                                                                                                                                                 serially   serially of Indira
                                                                                                                                                                 correlated
                                                                                                                                                                          correlated   Gandhi,
                                                                                                                                                                                     during         the
                                                                                                                                                                                                 during  Ataltenure
                                                                                                                                                                                                                theBihari  of Indira
                                                                                                                                                                                                                        tenure           Gandhi,
                                                                                                                                                                                                                                   of Indira   GandAt
            are  insignificant.
             Vajpayee      areand         The residuals
                                      Nerendra
                                 insignificant.         Modi
                                                       The        are
                                                                   but
                                                              residuals   notare  serially
                                                                           heteroskedasticity
                                                                                    not          correlated
                                                                                          serially      correlated      during
                                                                                                                  problem   during  is thefound
                                                                                                                                          the  tenure
                                                                                                                                                tenure in    of Indira
                                                                                                                                                            the
                                                                                                                                                             of   Indira
                                                                                                                                                                   residuals  Gandhi,
                                                                                                                                                                           Gandhi,   during
                                                                                                                                                                                          Atal Atal  the
                                                                                                                                                                                                   BihariBihari
                                                                                                                                                                                                             tenure        of
                  Vajpayee and Nerendra Modi                              but
                                                                   Vajpayee       heteroskedasticity
                                                                              Vajpayeeand Nerendra
                                                                                                 and Nerendra      Modi  problem            is found
                                                                                                                               but heteroskedasticity
                                                                                                                              Modi          but             in the residuals
                                                                                                                                                  heteroskedasticity         problem       during
                                                                                                                                                                                        problem is found  the      tenure
                                                                                                                                                                                                                  in
                                                                                                                                                                                                            is found           of
                                                                                                                                                                                                                       theinresiduals      duringduth
                                                                                                                                                                                                                                the residuals
            Vajpayee
             all the        and Nerendra
                        Prime
                           Vajpayee Ministers
                                           and NerendraModi
                                                       except    butRajiv
                                                                  Modi   heteroskedasticity
                                                                            butGandhi.         The
                                                                                   heteroskedasticity         problem
                                                                                                        residuals    problemare  isalso
                                                                                                                                     isfound  not
                                                                                                                                          found    in    the
                                                                                                                                                    innormally  residuals
                                                                                                                                                         the residuals            during
                                                                                                                                                                        distributed
                                                                                                                                                                               during            the
                                                                                                                                                                                            theduring
                                                                                                                                                                                                   tenuretenure  of of
                                                                                                                                                                                                               the
                  all the Prime Ministers except                   all theRajiv      Gandhi.
                                                                              allPrime
                                                                                    the     Ministers
                                                                                          Prime      The      residuals
                                                                                                        Ministersexceptexcept     are also
                                                                                                                                Rajiv       Gandhi.
                                                                                                                                             Rajiv not      normally  Thedistributed
                                                                                                                                                            The residuals
                                                                                                                                                      Gandhi.                          are also
                                                                                                                                                                               residuals             during
                                                                                                                                                                                                   are   not
                                                                                                                                                                                                           also     the
                                                                                                                                                                                                                 normally
                                                                                                                                                                                                                    not normally  distributed    dur
                                                                                                                                                                                                                                         distribute
            all the Prime
             tenure     of allthe Ministers
                                the   Prime(JB
                                     PMs             except
                                                 Ministers
                                                     statistics). RajivBut
                                                                except      Gandhi.
                                                                             Rajiv
                                                                                 the        The The
                                                                                      Gandhi.
                                                                                         residuals   residuals
                                                                                                            residuals
                                                                                                           are      foundareare  also
                                                                                                                                 to alsobe  not
                                                                                                                                             not  normally
                                                                                                                                                   normally during
                                                                                                                                              stationary            distributed
                                                                                                                                                                    distributed  the        during
                                                                                                                                                                                       during
                                                                                                                                                                                        tenure       the oftheIndira
                  tenure of the PMs (JB statistics).               tenure      But
                                                                                 of thetheofPMsresiduals
                                                                                                 the(JB           are     found
                                                                                                               statistics).          But to bethe  stationary
                                                                                                                                                     residuals          during
                                                                                                                                                                       are     found  the   totenure
                                                                                                                                                                                                  be          of
                                                                                                                                                                                                              beIndira
                                                                                                                                                                                                         stationary          duringduring
                                                                                                                                                                                                                                        the tenure
            tenure oftenure the PMs         (JBPMs
                                       of Bihari
                                           the     statistics).        But tenure
                                                         (JB statistics).     theButresiduals
                                                                                       the residuals     PMs
                                                                                                         are       (JB
                                                                                                                 found
                                                                                                               are         statistics).
                                                                                                                       found  totobebestationary But
                                                                                                                                             stationary  the during
                                                                                                                                                                 residuals
                                                                                                                                                                during    the      are
                                                                                                                                                                             thetenure
                                                                                                                                                                                    tenurefound     ofto
                                                                                                                                                                                               of Indira  Indira    stationary                the te
             Gandhi
                  Gandhi and      Atal
                                 and     Atal    BihariVajpayee.
                                                             Vajpayee.
                                                                   Gandhi         and     Atal     Bihari        Vajpayee.
            Gandhi and          Ataland
                           Gandhi        BihariAtal Vajpayee.                 Gandhi and Atal Bihari Vajpayee.
             TableTable3 Growth
                              3  Growth   rate     ofBihari
                                                 rate   Return
                                                         of
                                                                Vajpayee.
                                                              Return  of BSE
                                                                   Table    of 3BSEGrowth         rate of         Return          of BSEof BSE
            Table 3 Growth              rate
                           Table 3Coefficient
                                        Growth   of rate
                                                      Return       of BSE
                                                             of Growth
                                                                 Return       Table
                                                                              of   BSE 3RGrowth
                                                                                             2                rate       of Return
    Prime    Minister
         Prime    Minister                   Coefficient               Growth                    R 2        F-statF-stat            Breuch- Breuch-     R2 Breuch-Breuch-                           J-B                        Q-Stat
   Prime MinisterPrime Minister     Coefficient        Prime
                                                   Coefficient     Minister
                                                                 Prime
                                                               Growth         Minister
                                                                         Growth
                                                                                          2 Coefficient
                                                                                        R R F-stat2
                                                                                                          Coefficient
                                                                                                               F-stat        Growth
                                                                                                                                 Breuch- Growth
                                                                                                                                    Breuch-                        R2 Breuch-
                                                                                                                                                               Breuch-  F-statF-stat            J-B J-B
                                                                                                                                                                                           J-BBreuch-      Breuch-  Q-Stat Q-Stat Q-Stat
                                                                                                                                                                                                                            Breuch-  Breuch- J-
                                                                       % %                                                          Godfrey
                                                                                                                                  %Godfrey  Godfrey                Pagan-
                                                                                                                                                                       Pagan-                  Godfrey                   (Stationary)
                                                                                                                                                                                                                             (Stationary)
                                                                                                                                                                                                                             Pagan-
                                                                    %          %                                                 Godfrey       %                Pagan-
                                                                                                                                                                Pagan-                                     Godfrey    (Stationary)
                                                                                                                                                                                                               (Stationary)           Pagan-
                                                                                                                                 LM LM
                                                                                                                                    LMTest
                                                                                                                                             Test
                                                                                                                                            LM
                                                                                                                                            TestTest Godfrey
                                                                                                                                                                  Godfrey
                                                                                                                                                               GodfreyGodfrey                  LM Test                      Godfrey
                                                                                                                                                                                                           LM Test                   Godfrey
                                                                                                                                  (Ser.  (Ser.Cor.)Cor.) Test        Test Test               (Ser. Cor.)
                                                                                                                               (Ser.
                                                                                                                                  (Ser.    Cor.)
                                                                                                                                             Cor.)                Test                                   (Ser. Cor.) Test Test
                                                                                                                                                                 (Hetero.)
                                                                                                                                                              (Hetero.)
                                                                                                                                                              (Hetero.)
                                                                                                                                                                     (Hetero.)                                             (Hetero.)(Hetero.)
 Indira
Indira   Gandhi
      Indira Indira
        GandhiGandhi  Gandhi -0.000144 -0.000144   -0.000144
                                             -0.000144
                                                  Indira          -0.014
                                                                -0.014
                                                              Gandhi       -0.014
                                                                        -0.014        0.0011
                                                                                    0.0011 0.0011
                                                                                           0.0011        1.01466
                                                                                                      1.01466
                                                                                                -0.000144    1.01466
                                                                                                                1.01466               0.3626
                                                                                                                                      0.3626
                                                                                                                                  0.3626
                                                                                                                              -0.014         0.3626
                                                                                                                                                  0.0011         5.1577**
                                                                                                                                                              5.1577**
                                                                                                                                                              5.1577**
                                                                                                                                                                     5.1577**
                                                                                                                                                                      1.01466             7668.233**
                                                                                                                                                                                   7668.233**
                                                                                                                                                                                      7668.233**7668.233**
                                                                                                                                                                                                 0.3626                  Insignificant
                                                                                                                                                                                                               Insignificant
                                                                                                                                                                                                                      Insignificant
                                                                                                                                                                                                                              Insignificant
                                                                                                                                                                                                                           5.1577**          7668.2
                                                            Indira Gandhi                                  -0.000144                       -0.014 0.0011 1.01466                                             0.3626                5.1577**          7
                                         (0.3141)
                                       (0.3141)     (0.3141)
                                               (0.3141)                                                  (0.3141)
                                                                                                             (0.3141)
                                                                                                      (0.3141)
                                                                                                 (0.3141)       (0.3141)            (0.8342)
                                                                                                                                    (0.8342)
                                                                                                                                 (0.8342)  (0.8342)               (0.0231)
                                                                                                                                                               (0.0231)
                                                                                                                                                               (0.0231)
                                                                                                                                                                      (0.0231)
                                                                                                                                                                     (0.3141)         (0.0000)(0.0000)
                                                                                                                                                                                         (0.0000)   (0.0000)
                                                                                                             (0.3141)                                                           (0.3141)(0.8342)           (0.8342) (0.0231)         (0.0231) (0.00
 RajivRajiv
Rajiv   Gandhi
       GandhiRajiv Gandhi -0.000197
             Gandhi                    -0.000197   -0.000197
                                             -0.000197
                                                  Rajiv           -0.019
                                                                -0.019
                                                            Gandhi         -0.019
                                                                        -0.019        0.0013
                                                                                    0.0013 0.0013
                                                                                           0.0013          1.4152
                                                                                                        1.4152
                                                                                                -0.000197     1.4152
                                                                                                                  1.4152-0.019    32.0795**
                                                                                                                                  32.0795**
                                                                                                                              32.0795**  32.0795**0.0013           2.9751
                                                                                                                                                                2.9751
                                                                                                                                                                2.9751  2.9751
                                                                                                                                                                       1.4152             121.9854**
                                                                                                                                                                                   121.9854**
                                                                                                                                                                                      121.9854**121.9854**
                                                                                                                                                                                             32.0795**                Sig. Sig.  Sig.Sig. 121.98
                                                    (0.2345)Rajiv Gandhi                                   -0.000197
                                                                                                             (0.2345) (0.0000)             -0.019
                                                                                                                                    (0.0000)                   0.0013
                                                                                                                                                               (0.0847)           1.4152
                                                                                                                                                                                      (0.0000)           32.0795**2.9751              2.9751         1
                                         (0.2345)
                                       (0.2345)(0.2345)                                          (0.2345)(0.2345)
                                                                                                      (0.2345)  (0.2345)            (0.0000)
                                                                                                                                           (0.0000)               (0.0847)
                                                                                                                                                               (0.0847)
                                                                                                                                                                      (0.0847)
                                                                                                                                                                     (0.2345)                 (0.0000)
                                                                                                                                                                                         (0.0000)   (0.0000)
                                                                                                                                                                                               (0.0000)                     (0.0847)            (0.00
P.V.         P.V. Narasimha          Rao           -0.000324               -0.032          0.00252.6105      (0.2345)
                                                                                                              2.6105 31.3032**    31.3032** 44.2694**       44.2694**           (0.2345)
                                                                                                                                                                                   1635.526**              (0.0000)   Sig. Sig.      (0.0847)
 P.V.Narasimha
       Narasimha
      P.V. Narasimha
                      Rao
                       RaoRao -0.000324-0.000324
                                             -0.000324
                                                  P.V.
                                                                -0.032
                                                                  -0.032
                                                          Narasimha     -0.032
                                                                                    0.0025
                                                                               Rao0.0025   0.0025
                                                                                                -0.000324  2.6105 2.6105-0.032    31.3032**
                                                                                                                                         31.3032**0.0025        44.2694**
                                                                                                                                                                    44.2694**
                                                                                                                                                                       2.6105
                                                                                                                                                                                      1635.526**
                                                                                                                                                                                          1635.526**
                                                                                                                                                                                                1635.526**
                                                                                                                                                                                             31.3032**                           Sig.Sig. 1635.5
                                                                                                                                                                                                                          44.2694**
                                       (0.1065)     (0.1065)P.V.    Narasimha             Rao              -0.000324
                                                                                                             (0.1065)
                                                                                                      (0.1065)                             -0.032
                                                                                                                                    (0.0000)
                                                                                                                                 (0.0000)                      0.0025
                                                                                                                                                               (0.0000)
                                                                                                                                                               (0.0000)           2.6105
                                                                                                                                                                                      (0.0000)
                                                                                                                                                                                         (0.0000)        31.3032**                 44.2694** 1
                                         (0.1065)
                                               (0.1065)                                          (0.1065)(0.1065)
                                                                                                                (0.1065) 4.9964     (0.0000)
                                                                                                                                           (0.0000) 19.1055**     (0.0000)
                                                                                                                                                                      (0.0000)
                                                                                                                                                                     (0.1065)                 (0.0000)
                                                                                                                                                                                                    (0.0000)
                                                                                                                                                                                               (0.0000)                     (0.0000)
Atal  Bihari Atal  Bihari
              Vajpayee       Vajpayee 0.000056      0.000056     0.006      0.006   0.0002 0.0002            (0.1065)
                                                                                                        0.31780.3178              4.9964                    19.1055**           (0.1065)
                                                                                                                                                                                   603.0378**
                                                                                                                                                                                      603.0378**           (0.0000)
                                                                                                                                                                                                               Insignificant
                                                                                                                                                                                                                      Insignificant  (0.0000) (0.00
 AtalAtal
       Bihari   Vajpayee
           Bihari Vajpayee (0.5730)     0.000056
                                               0.000056
                                                  Atal    Bihari   0.006 0.006
                                                                      Vajpayee        0.0002
                                                                                           0.00020.000056  0.3178 0.31780.006         4.9964 4.9964
                                                                                                                                                  0.0002        19.1055**
                                                                                                                                                                    19.1055**
                                                                                                                                                                       0.3178             603.0378**
                                                                                                                                                                                                603.0378**
                                                                                                                                                                                                 4.9964                  Insignificant
                                                                                                                                                                                                                              Insignificant
                                                    (0.5730)Atal Bihari          Vajpayee                   0.000056
                                                                                                             (0.5729)
                                                                                                      (0.5729)                      (0.0822)
                                                                                                                                 (0.0822)   0.006              0.0002
                                                                                                                                                               (0.0000)
                                                                                                                                                               (0.0000)           0.3178
                                                                                                                                                                                      (0.0000)
                                                                                                                                                                                         (0.0000)            4.996419.1055**       19.1055** 603.03  6
                                         (0.5730)
                                               (0.5730)                                          (0.5730)(0.5729)
                                                                                                                (0.5729)            (0.0822)
                                                                                                                                           (0.0822)               (0.0000)
                                                                                                                                                                      (0.0000)
                                                                                                                                                                     (0.5729)                 (0.0000)
                                                                                                                                                                                                    (0.0000)
                                                                                                                                                                                               (0.0822)                     (0.0000)            (0.00
Dr. Manmohan Dr. Manmohan -0.000045                -0.000045    -0.005-0.005        0.0004 0.00041.0647       1.0647 16.1025**
                                                                                                             (0.5730)             16.1025**                   6.8703**
                                                                                                                                                              6.8703** (0.5729)    8708.093**
                                                                                                                                                                                      8708.093**           (0.0822)   Sig. Sig. (0.0000)
 Dr. Manmohan                          -0.000045                  -0.005-0.005 0.0004                      1.0647                 16.1025**                      6.8703**                 8708.093**                             Sig.Sig. 8708.0
SinghDr. Manmohan
             Singh                           -0.000045
                                       (0.3020)   Dr.   Manmohan
                                                    (0.3020)Dr. Manmohan                   0.0004
                                                                                                -0.000045         1.0647-0.005
                                                                                                             (0.3022)
                                                                                                           -0.000045
                                                                                                      (0.3022)                           16.1025**
                                                                                                                                    (0.0003)
                                                                                                                                 (0.0003)  -0.005 0.0004             6.8703**
                                                                                                                                                               (0.0088)
                                                                                                                                                               0.0004
                                                                                                                                                               (0.0088)1.0647         (0.0000)
                                                                                                                                                                                  1.0647        8708.093**
                                                                                                                                                                                             16.1025**
                                                                                                                                                                                         (0.0000)        16.1025**6.8703**         6.8703** 8
 SinghSingh  Narendra       Modi         (0.3020)
                                               (0.3020)
                                                   -0.000020
                                                  Singh                     0.006          0.0006(0.3020)(0.3022)
                                                                                                                (0.3022)
                                                                                                              0.0989                (0.0003)
                                                                                                                                           (0.0003)
                                                                                                                                      2.6363                      (0.0088)
                                                                                                                                                            23.5660** (0.0088)
                                                                                                                                                                     (0.3022)      32830.86** (0.0000)
                                                                                                                                                                                                    (0.0000)
                                                                                                                                                                                               (0.0003)               Sig.
Narendra Modi                        -0.000020 Singh             0.006              0.0006 0.0989            (0.3020) 2.6363                                23.5660**(0.3022)         32830.86**           (0.0003) Sig. (0.0088) (0.00
                                                                                                                                                                                                                            (0.0088)
 Narendra
      NarendraModi Modi                -0.000020    (0.5964)
                                             -0.000020
                                                  Narendra         0.006 0.006        0.0006
                                                                    Modi Modi -0.000020    0.0006          0.0989
                                                                                                             (0.7531)
                                                                                                                  0.0989              2.6363
                                                                                                                                    (0.2676) 2.6363             23.5660**
                                                                                                                                                               (0.0000)
                                                                                                                                                                    23.5660**             32830.86**
                                                                                                                                                                                      (0.0000)  32830.86**                       Sig.Sig. 32830
                                       (0.5964)             Narendra                                       -0.0000200.006
                                                                                                      (0.7531)                   (0.2676)   0.006 0.0006       (0.0000)
                                                                                                                                                               0.0006  0.0989     0.0989 (0.0000)2.6363      2.636323.5660**       23.5660** 3
                           **            (0.5964)
                               Significance  at  5%  level
                                               (0.5964)                                          (0.5964)(0.7531)
                                                                                                                (0.7531)            (0.2676)
                                                                                                                                           (0.2676)               (0.0000)
                                                                                                                                                                      (0.0000)
                                                                                                                                                                     (0.7531)                 (0.0000)
                                                                                                                                                                                                    (0.0000)
                                                                                                                                                                                               (0.2676)                     (0.0000)
            ** Significance at 5% level
                           Source:
             ** Significance        Author’s
                                 at 5%   levelown calculation
                                                                                                             (0.5964)                                                           (0.7531)                   (0.2676)                  (0.0000) (0.00
                 Source:
                      **Author’s  ownat
                         Significance calculation
                                        5% level          ** Significance  at 5% level
                 Detection   Detection
                              of ARCH
                  Source: Author’s       ofEffect:
                                            ARCH Effect:
                                   own calculation
                                                                  ** Significance  at 5% level
                      Source: Author’s  own calculation Source:Source:
                                                                   Author’sAuthor’s
                                                                             own calculation
                  Detection
                 Volatility  Volatility
                               of ARCH
                             clustering clustering
                                            Effect:
                                           of daily ofreturn
                                                       daily return    is examined
                                                               is examined             by calculation
                                                                                     own  applying
                                                                                 by applying          ARCHtest.
                                                                                                    ARCH     test.Here,
                                                                                                                  Here, AR(1)
                                                                                                                          AR(1)model
                                                                                                                                 model is is
                                                                                                                                          used
                                                                                                                                             usedto to
                      Detection     of
                             generate   ARCH
                                        squared Effect:   Detection
                                                  residuals   for testing of
                                                                  Detection   ARCH
                                                                            ARCH of    Effect:
                                                                                      ARCH
                                                                                    effect.  It Effect:
                                                                                                is found  (Table 4)  that both the F-statistics  and LM
                  Volatility
                 generate     clustering
                             squared
                      Volatility            of daily
                                         residuals
                                   clustering          return
                                                      for
                                                 of daily testing
                                                           returnis examined
                                                          Volatility ARCH
                                                                      isclustering
                                                                         examined   byof
                                                                               effect.  applying
                                                                                        It daily
                                                                                        by isapplying
                                                                                               found  ARCH  istest.
                                                                                                        (Table
                                                                                                         ARCH
                                                                                                    return      4)  Here,
                                                                                                                    that
                                                                                                                 test.
                                                                                                               examined     AR(1)
                                                                                                                          both
                                                                                                                        Here,   themodel
                                                                                                                            by AR(1)         is used
                                                                                                                                    F-statistics
                                                                                                                                      model
                                                                                                                               applying    ARCH       to LM
                                                                                                                                                    and
                                                                                                                                                is used
                                                                                                                                                   test. to
                                                                                                                                                         Here, AR(1) model is use
                                                     Volatility clustering of daily return is examined by applying ARCH test. Here, AR(1) model
                 generate squared
                    generate      residuals
                             squared        forgenerate
                                      residuals testing
                                                for       ARCH
                                                    testing     effect.
                                                             ARCH        It isItfound
                                                                    effect.               (Table
                                                                                 isforfound      4) that
                                                                                             (Table      both
                                                                                                    4)ARCH
                                                                                                       that   Itthe
                                                                                                            both     F-statistics
                                                                                                                 isthe       (Tableand  LMLM
                                                      (IJA)squared
                34 ◆ Indian Journal of Accountinggenerate           residuals
                                                                squared
                                                            Volume:  52 (2)residuals
                                                                            December    testing
                                                                                          for   ARCH
                                                                                              testing
                                                                                           2020       effect.
                                                                                                            effect.   It F-statistics
                                                                                                                    foundis found   4)and
                                                                                                                                       that
                                                                                                                                   (Table
                                                                                                                                      45  4)both
                                                                                                                                             that the
                                                                                                                                                  bothF-statistic
                                                                                                                                                        the F-st
                                                                                                                                                                                                               45
                                                                                                                                                                                                                   4545
statistics are statistically significant at five percent level during the tenure of the Prime Ministers that
                                                statistics are
                                               statistics    are statistically
                                                                   statistically significant
                                                                                  significant at  at five
                                                                                                      five percent
                                                                                                            percent levellevel during
                                                                                                                                 during the
                                                                                                                                         the tenure
                                                                                                                                              tenure of of the
                                                                                                                                                           the Prime
                                                                                                                                                                Prime
 means presence of ARCH effect in return series. It is also observed that the return volatility is lower during
statistics   areofstatistically significant     means
                                            at means
                                               five        presence
                                                          presence
                                                      percent           of
                                                                 level of   ARCH   effect
                                                                           ARCH effect
                                                                        during              in
                                                                                           in ofreturn
                                                                                               return     series.
                                                                                                          series.    It is also
                                                                                                                    It is alsothatobserved    that the    return
                                                                                                                                  observed that the return vola  vola
 the regime          Indira Gandhi    (6.0951)    who   was elected       fromthe
                                                                                INCtenure
                                                                                      as compared  the Prime
                                                                                                          to theMinisters
                                                                                                                   other PMs        and higher
means                                           the   regime
                                               theseries.
                                                     regime      of
                                                             It of   Indira
                                                                    Indira   Gandhi
                                                                            Gandhithat (6.0951)
                                                                                      (6.0951)      who    was   elected
                                                                                                    who volatility
                                                                                                           was elected         from   INC
                                                                                                                              fromduring  as  compared      to
                                                                                                                                     INC as compared to the oththe ot
 duringpresence
           the time of ofARCH    effect in return
                           P.V. Narasimha    Rao (7.7133)       iswho
                                                                   also  observed
                                                                        was  elected from theINC return
                                                                                                      and then Dr.isMonmohan
                                                                                                                           lower          Sing
the regime of Indira Gandhi (6.0951) who        during
                                               during     the
                                                     wasthe     timefrom
                                                               time
                                                           elected     of P.V.
                                                                       of  P.V. Narasimha
                                                                            INCNarasimha
                                                                                 as compared    Rao
                                                                                               Rao     (7.7133)
                                                                                                    to(7.7133)     who
                                                                                                        the otherwho  PMswaswas   elected
                                                                                                                             andelected     from INC
                                                                                                                                   higher from    INC and
                                                                                                                                                        and then
                                                                                                                                                              then Dr
                                                                                                                                                                   Dr
 (7.0310) who was elected from INC and so on based on AIC criterion. But in a nutshell, the return volatility
during the time of P.V. Narasimha Rao(7.0310)   (7.0310)     who
                                                 (7.7133) who was   was   elected
                                                                   was elected      from
                                                                          electedfrom
                                                                                   fromINC INC
                                                                                          INCand  and
                                                                                                  andthenso on
                                                                                                        so on   based
                                                                                                             Dr.based
                                                                                                                 Monmohan   on   AIC
                                                                                                                           on AICSingcriterion. But    in a nutshell,
                                                                                                                                     criterion. But in a nutshell,
 is almost same according to AIC criteria.
(7.0310) who was elected from INC and          isisso
                                                    almost   same
                                                      on based
                                                   almost    same     according
                                                                   onaccording     to AIC
                                                                        AIC criterion.
                                                                                  to   AIC  criteria.
                                                                                        Butcriteria.
                                                                                              in a nutshell, the return volatility
isTable
   almost    sameofaccording
          4 Test                 to AIC criteria.
                       ARCH Effect
                                                Table 44 Test
                                               Table        Test ofof ARCH
                                                                       ARCH Effect
                                                                              Effect
Table 4 TestPrimeof ARCH     Effect
                         Minister                                 F-Stat.                            Obs*R2                            AIC
                                                               Prime Minister
                                                              Prime      Minister                                    F-Stat.
                                                                                                                    F-Stat.                            Obs*R22
                                                                                                                                                      Obs*R
 Indira GandhiPrime Minister                                   4.7561**
                                                             F-Stat.                          Obs*R4.7538**
                                                                                                        2                            6.0951
                                                Indira Gandhi
                                               Indira    Gandhi                                                  4.7561**AIC
                                                                                                                 4.7561**                           4.7538**
                                                                                                                                                    4.7538**
Indira Gandhi                                                   (0.0232)
                                                            4.7561**                        4.7538**(0.0109)                 6.0951
                                                                                                                   (0.0232)
                                                                                                                  (0.0232)                            (0.0109)
                                                                                                                                                     (0.0109)
 Rajiv Gandhi                                                  6.3019**
                                                            (0.0232)                               6.2764**
                                                                                             (0.0109)                                6.1746
                                                Rajiv Gandhi
                                               Rajiv    Gandhi                                                   6.3019**
                                                                                                                 6.3019**                           6.2764**
                                                                                                                                                    6.2764**
Rajiv Gandhi                                                    (0.0122)
                                                            6.3019**                        6.2764**(0.0122)                 6.1746
                                                                                                                   (0.0122)
                                                                                                                  (0.0122)                            (0.0122)
                                                                                                                                                     (0.0122)
 P.V. Narasimha Rao                                           105.4367**
                                                            (0.0122)                              96.0869**
                                                                                             (0.0122)                                7.7133
                                                P.V. Narasimha
                                               P.V.    Narasimha Rao   Rao                                      105.4367**
                                                                                                               105.4367**                           96.0869**
                                                                                                                                                   96.0869**
P.V. Narasimha Rao                                              (0.0000)
                                                          105.4367**                       96.0869**(0.0000)                 7.7133
                                                                                                                   (0.0000)
                                                                                                                  (0.0000)                            (0.0000)
                                                                                                                                                     (0.0000)
 Atal Bihari Vajpayee                                         204.5026**
                                                            (0.0000)                             180.7093**
                                                                                             (0.0000)                                6.5219
                                                Atal   Bihari   Vajpayee
                                               Atal Bihari Vajpayee                                             204.5026**
                                                                                                               204.5026**                          180.7093**
                                                                                                                                                  180.7093**
Atal Bihari Vajpayee                                            (0.0000)
                                                          204.5026**                      180.7093**(0.0000)                 6.5219
                                                                                                                   (0.0000)
                                                                                                                  (0.0000)                            (0.0000)
                                                                                                                                                     (0.0000)
 Dr. Manmohan Singh                                            35.1090**
                                                            (0.0000)                              34.6487**
                                                                                             (0.0000)                                7.0310
                                                Dr.   Manmohan
                                               Dr. Manmohan Singh      Singh                                     35.1090**
                                                                                                                35.1090**                           34.6487**
                                                                                                                                                   34.6487**
Dr. Manmohan Singh                                              (0.0000)
                                                           35.1090**                       34.6487**(0.0000)                 7.0310
                                                                                                                   (0.0000)
                                                                                                                  (0.0000)                            (0.0000)
                                                                                                                                                     (0.0000)
 Narendra Modi                                                 65.3867**
                                                            (0.0000)                              62.7374**
                                                                                             (0.0000)                                6.3944
                                                Narendra
                                               Narendra       Modi
                                                              Modi                                               65.3867**
                                                                                                                65.3867**                           62.7374**
                                                                                                                                                   62.7374**
Narendra Modi                                                   (0.0000)
                                                           65.3867**                       62.7374**(0.0000)                 6.3944
                                                                                                                   (0.0000)
                                                                                                                  (0.0000)                            (0.0000)
                                                                                                                                                     (0.0000)
 ** Significance at 5% level                                (0.0000)
                                                ** Significance at 5% level
                                                                                             (0.0000)
 Source:  Author’s  own  calculation              ** Significance at 5% level
** Significance at 5% level
                                                  Source:Author’s
                                                  Source:  Author’sown
                                                                     owncalculation
                                                                          calculation
 The estimated
Source: Author’s own outcome
                       calculation of
                                    GARCH model is presented in table 5. It is observed that the lagged squared
                                                  The estimated
                                                 The   estimated outcome
                                                                       outcome of   of GARCH
                                                                                         GARCH model
                                                                                                   model isis presented
                                                                                                                presented in   in table
                                                                                                                                   table 5.
                                                                                                                                          5. ItIt isis observed
                                                                                                                                                        observed that
                                                                                                                                                                   that the
                                                                                                                                                                         the
The  estimated
 residuals         outcomeof
             ‘coefficients    of the
                                  GARCHreturnmodel   is presented
                                                 during   the tenure   in table
                                                                           of the5.Indian
                                                                                     It is observed     that the lagged
                                                                                              Prime Ministers                squared
                                                                                                                      are significant    as the
residuals  ‘coefficients                          residuals
                                                 residuals     ‘coefficients
                                                              ‘coefficients      of the
                                                                                of   thePrime
                                                                                           return
                                                                                          return     during the
                                                                                                    during     the tenure
                                                                                                                     tenure ofof the
                                                                                                                                  the  Indian Prime
                                                                                                                                      Indian        Prime Ministers
                                                                                                                                                            Ministers are
                                                                                                                                                                        are
 probability    values areofless
                              the than
                                    return    during
                                           five       the tenure
                                                 percent    that meansof theexistence
                                                                               Indian            Ministers
                                                                                            of volatility      are  significant
                                                                                                             clustering    (ARCH  as Effect)
                                                                                                                                     the        that
probability   values   are volatility
                           less than of fiverisk  probability
                                                 probability
                                              percent             values    are
                                                                 valuesexistence less
                                                                           are less of  than
                                                                                       than    five  percent
                                                                                              five percent       that   means
                                                                                                                that(ARCH
                                                                                                                       means     existence
                                                                                                                                existence       of
                                                                                                                                       that ofthe     volatility  clusterin
                                                                                                                                                      volatility clustering
 also confirms     about                         whichthat     means
                                                          is affected     significantly   volatility
                                                                                            by the pastclustering
                                                                                                             squared          Effect)
                                                                                                                         residuals    during
also confirms                                     also
                                                 also  confirms
                                                       confirms       about
                                                                     about    volatility
                                                                             volatility     of
                                                                                           of   risk
                                                                                               risk  which
                                                                                                     which     is
                                                                                                              is  affected
                                                                                                                  affected    significantly
                                                                                                                             significantly       by
                                                                                                                                                by     the past
                                                                                                                                                       the past squared
                                                                                                                                                                  squared r
 tenure   of theabout
                   Primevolatility
                           Ministers.of risk  which isthe
                                          Similarly,     affected     significantly
                                                            coefficients      of theby     the past
                                                                                        lagged         squared residuals
                                                                                                  conditional      variance during
                                                                                                                               in the the
tenure   of thevariance
                  Prime Ministers.               tenure
                                                 tenure    of the
                                                           of   the Prime
                                                                      Prime   Ministers.
                                                                             Ministers.       Similarly, the
                                                                                             Similarly,    the coefficients
                                                                                                                  coefficients    of the
                                                                                                                                 of  the lagged
                                                                                                                                          lagged conditional
                                                                                                                                                         conditional varia
                                                                                                                                                                       varia
 conditional               equationSimilarly,
                                         (GARCHthe      coefficients
                                                     Effect)             of the
                                                               are significant    lagged
                                                                                    as theconditional
                                                                                              probabilityvariance
                                                                                                              values arein the
                                                                                                                             less than five
conditional    variance   equation    (GARCH     conditional
                                                 conditional
                                                  Effect)ofare     variance    equation
                                                                  variance equation
                                                                 significant                 (GARCH      Effect)
                                                                                            (GARCH Effect)are
                                                                               as the probability                   are  significant
                                                                                                                   areless
                                                                                                                        significant    as
                                                                                                                            than fiveasarethe probability values aa
                                                                                                                                          the       probability    values
 percent meaning        that the past     volatilities      BSE     returns during       the tenurevaluesof the Prime      Ministers’
percent   meaning     that the  past volatilitiespercent
                                                 percent     meaning
                                                     of BSEmeaning
                                                               returns    that the
                                                                          that   the   past
                                                                                   thepast    volatilities
                                                                                             volatilities    of BSE
                                                                                                            of    BSE  returns during
                                                                                                                       returns    during the
                                                                                                                                           the tenuretenure ofof the
                                                                                                                                                                 the Prime
                                                                                                                                                                      Prime
 significantly   influence   current     returns. Moreover,          theduring
                                                                          summation      tenure
                                                                                            of ARCHof the
                                                                                                        andPrime
                                                                                                              GARCH  Ministers’
                                                                                                                          effectsaremeasure the
significantly   influence  current    returns.   significantly
                                                 significantly      influence
                                                                   influence     current
                                                                                 current     returns.
                                                                                            returns.     Moreover,
                                                                                                        Moreover,        the
                                                                                                                        the   summation
                                                                                                                              summation         of
                                                                                                                                               of     ARCH
                                                                                                                                                      ARCH   and
                                                                                                                                                             and   GARCH
                                                                                                                                                                   GARCH
 shock persistence       which   is very   closeMoreover,        the summation
                                                   to unity during       their tenure.of ARCH and GARCH effects measure the
shock  persistence     which  is  very  close    shock
                                                 shock
                                                to unity  persistence
                                                         persistence
                                                           during    their  which
                                                                           which
                                                                            tenure.  is very
                                                                                    is   very close
                                                                                               close toto unity
                                                                                                          unity during
                                                                                                                   during their
                                                                                                                             their tenure.
                                                                                                                                    tenure.
 Table 5 Estimation of GARCH
Table 5 Estimation of GARCH                      Table   5  Estimation
                                                 Table 5 Estimation of GARCH of  GARCH
                                            GARCH = C(3) + C(4)*RESID(-1)^2GARCH + C(5)*GARCH(-1)
                                                                               GARCH == C(3)
                                                                                         C(3) ++ C(4)*RESID(-1)^2
                                          GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)       C(4)*RESID(-1)^2 ++ C(5)*GARCH(-1)
                                                                                                                     C(5)*GARCH(-1)
 Prime Minister                               C(3) Prime Minister
                                                               C(4)             C(5)
                                                                                  C(3)          C(4) +
                                                                                                  C(4) C(5)          AIC
                                                                                                                  C(5)         C(4)
Prime Minister                              C(3) Prime Minister
                                                            C(4)            C(5) C(3)     C(4) +C(4)
                                                                                                  C(5)         AICC(5)         C(4)
 Indira Gandhi
Indira Gandhi
                                           0.2006**
                                         0.2006**Indira
                                                            0.2194**
                                                   Indira0.2194**
                                                           Gandhi            0.6539**
                                                                               0.2006**
                                                                         0.6539**
                                                                                                  0.8733
                                                                                              0.2194**
                                                                                            0.8733
                                                                                                                   2.9629
                                                                                                               0.6539**
                                                                                                             2.9629              0.8
                                                          Gandhi              0.2006**       0.2194**          0.6539**          0.8
                                           (0.0000)
                                         (0.0000)           (0.0000)
                                                         (0.0000)            (0.0000)
                                                                                (0.0000)
                                                                         (0.0000)              (0.0000)         (0.0000)
                                                                               (0.0000)       (0.0000)         (0.0000)
RajivGandhi
Rajiv Gandhi                               0.0558**
                                         0.0558**  Rajiv    0.0609**
                                                         0.0609**
                                                         Gandhi              0.9205**
                                                                         0.9205**
                                                                               0.0558**     0.98140.9814
                                                                                              0.0609**       3.74943.7494
                                                                                                               0.9205**          0.9
                                                  Rajiv Gandhi                0.0558**       0.0609**          0.9205**          0.9
                                           (0.0003)
                                         (0.0003)           (0.0000)
                                                         (0.0000)            (0.0000)
                                                                         (0.0000)
                                                                                (0.0003)       (0.0000)         (0.0000)
                                                                               (0.0003)       (0.0000)         (0.0000)
P.V.Narasimha
P.V. NarasimhaRao
               Rao                         0.0579**
                                         0.0579**  P.V.     0.1088**Rao 0.8777**
                                                         0.1088**
                                                        Narasimha            0.8777**
                                                                               0.0579**     0.98650.9865
                                                                                              0.1088**       3.85253.8525
                                                                                                               0.8777**          0.9
                                                  P.V. Narasimha Rao          0.0579**       0.1088**          0.8777**          0.9
                                           (0.0016)
                                         (0.0016)           (0.0000)
                                                         (0.0000)            (0.0000)
                                                                         (0.0000)
                                                                                (0.0016)       (0.0000)         (0.0000)
                                                                               (0.0016)       (0.0000)         (0.0000)
AtalBihari
Atal BihariVajpayee
            Vajpayee                       0.1629**
                                         0.1629**           0.1651**
                                                         0.1651**
                                                   Atal Bihari
                                                        Bihari Vajpayee
                                                                Vajpayee     0.7881**
                                                                         0.7881**
                                                                               0.1629**     0.95320.9532
                                                                                              0.1651**       3.75873.7587
                                                                                                               0.7881**          0.9
                                                  Atal                        0.1629**       0.1651**          0.7881**          0.9
                                           (0.0000)
                                         (0.0000)           (0.0000)
                                                         (0.0000)            (0.0000)
                                                                         (0.0000)
                                                                                (0.0000)       (0.0000)         (0.0000)
                                                                               (0.0000)       (0.0000)         (0.0000)
Dr.Manmohan
Dr. ManmohanSingh
             Singh                         0.0275**
                                         0.0275**  Dr.      0.0924**Singh0.8965**
                                                         0.0924**
                                                       Manmohan              0.8965**
                                                                               0.0275**     0.98890.9889
                                                                                              0.0924**       3.36573.3657
                                                                                                               0.8965**          0.9
                                                  Dr. Manmohan Singh          0.0275**       0.0924**          0.8965**          0.9
                                           (0.0000)
                                         (0.0000)           (0.0000)
                                                         (0.0000)            (0.0000)
                                                                         (0.0000)
                                                                                (0.0000)       (0.0000)         (0.0000)
                                                                               (0.0000)       (0.0000)         (0.0000)
NarendraModi
Narendra Modi                              0.0053**
                                         0.0053**           0.1061**
                                                         0.1061**
                                                   Narendra Modi
                                                               Modi          0.8697**
                                                                         0.8697**
                                                                               0.0053**     0.97580.9758
                                                                                              0.1061**       2.58642.5864
                                                                                                               0.8697**          0.9
                                                  Narendra                    0.0053**       0.1061**          0.8697**          0.9
                                           (0.0004)
                                         (0.0004)           (0.0000)
                                                         (0.0000)            (0.0000)
                                                                         (0.0000)
                                                                                (0.0004)       (0.0000)         (0.0000)
 **Significance
**  Significanceatat5%5%level
                          level
                                                                               (0.0004)       (0.0000)         (0.0000)
                                                  **Significance
                                                  ** Significanceat
                                                                 at5%5%level
                                                                        level
Source:
 Source:Author’s
          Author’sownowncalculation
                           calculation
                                                  Source: Author’s  own  calculation
                                                  Source: Author’s own calculation
                                                          Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020                       ◆    35
                                                                                                                                           46       46
Table 6 presents the estimated result of EGARCH model. It is observed that the constant terms in
variance equation are statistically significant and the persistence of conditional volatility (volatil-
ity clustering) exists in return during the tenure of the Prime Ministers as depicted by the proba-
bility
 Tablevalues.
        6 presentsThetheGARCH
                          estimatedcoefficients
                                      result ofTableof6 the
                                                EGARCH        return
                                                        presents
                                                           model.    It isseries
                                                                    the   estimated
                                                                           observedduring
                                                                                       result  their
                                                                                        that the       tenure
                                                                                                of constant
                                                                                                    EGARCH         are in
                                                                                                                model.
                                                                                                                terms     statistically
                                                                                                                             is observed sig-
                                                                                                                          It variance      that the constant te
nificant
 equationmeaning        that significant
            are statistically  past shocks      persistence
                                           andequation
                                                the persistence   significantly
                                                          are statistically           influences
                                                                               significant
                                                                    of conditional            and the
                                                                                       volatility      current
                                                                                                         persistence
                                                                                                    (volatility     returns.      The study
                                                                                                                         of conditional
                                                                                                                 clustering)     exists    volatility (volatility c
also  examines
 in return  during existence
                    the tenure of ofthe  PrimeinMinisters
                                      leverage    return
                                                   effectduring
                                                            on     the tenure
                                                                 return
                                                            as depicted     duringof the
                                                                             by the        Prime
                                                                                       their        Ministers
                                                                                                tenure.
                                                                                      probability    values.The  asgamma
                                                                                                                The depicted      by the probability values. Th
                                                                                                                     GARCH coefficients
ofcoefficients
    BSE return of the  returnthe
                   during      series
                                   occupancy  coefficients
                                       during theiroftenure  of
                                                              arethe
                                                      the Prime       return series
                                                                   statistically
                                                                      Ministers         during
                                                                                   significant
                                                                                      are         their
                                                                                                    zerotenure
                                                                                            nonmeaning        thatare
                                                                                                            meaning paststatistically
                                                                                                                           shocks
                                                                                                                           that        significant meaning tha
                                                                                                                                  presence
ofpersistence
    asymmetric significantly
                    effect in influences      persistence
                                          current
                                 the volatilities.     Here,significantly
                                                    returns.  The
                                                                thestudy      influences
                                                                            also  examines
                                                                      γ coefficients         current
                                                                                                 BSE returns.
                                                                                             ofexistence           The
                                                                                                             of leverage
                                                                                                        return     duringstudy   alsoon
                                                                                                                              effect
                                                                                                                               their  examines
                                                                                                                                       regime existence of le
 return  during and
                 theirsignificant.
                        tenure. The gamma     return   during  their   tenure.   The   gamma       coefficients    of  BSE  return   during  the occupancy of t
are  positive                          It maycoefficients
                                                 be said that of BSE   return during
                                                                   leverage       effectthe    occupancy
                                                                                             doesn’t          of the
                                                                                                          exist   in thePrimereturn during
 Ministers are non zero meaning that presence Ministers of are non zeroeffect
                                                           asymmetric        meaning     thatvolatilities.
                                                                                    in the     presence of      asymmetric
                                                                                                            Here,   the γ effect in the volatilities. Here
the Prime Ministers’ tenure that implies presence of positive correlation between the past re-
                                              coefficients
 coefficients of BSE return during their regime              of BSE return
                                                       are positive             during their
                                                                       and significant.          regime
                                                                                            It may         are that
                                                                                                     be said    positive    and significant.
                                                                                                                      leverage    effect       It may be said th
turn and future volatility of the return or in other words, positive shocks (good news) generates
 doesn’t exist in the return during the Prime doesn’t   exist in tenure
                                                     Ministers’   the returnthatduring
                                                                                  impliesthe    Prime Ministers’
                                                                                             presence     of positivetenure      that implies presence of posi
                                                                                                                         correlation
less volatility than negative shocksbetween      (bad news).
                                                          thereturnThus,
                                                               past return   return     of
                                                                               and future    the   BSE
                                                                                              volatility  is less   volatile    induring   the positive shock
 between the past return and future volatility of the                   or in other    words,    positiveofshocks
                                                                                                             the return
                                                                                                                      (goodornews) other words,
administration       of thethan
 generates less volatility     PMs.           generates
                                   negative shocks    (badless   volatility
                                                             news).   Thus,than
                                                                              returnnegative
                                                                                       of the BSEshocks    (bad
                                                                                                      is less    news).during
                                                                                                               volatile    Thus, the
                                                                                                                                   return of the BSE is less vol
 administration of the PMs.         administration of the PMs.
 Table 6 Estimation of EGARCH model Table 6 Estimation of EGARCH model
                                                               LOG(GARCH)
                LOG(GARCH) = C(3) + C(4)*ABS(RESID(-1)/@SQRT(GARCH(-1)))    = C(3) + C(4)*ABS(RESID(-1)/@SQRT(GARCH(-1)))
                                                                         + C(5)*RESID(-1)/@SQRT(GARCH(-1)                 + C(5)*RESID(-1)/@SQRT(GARCH(-1) + C(6)*
                                                                                                           + C(6)*LOG(GARCH(-1))
 Prime Minister                        C(3)       Prime Minister
                                                           C(4)                      C(5) C(3)              C(4)
                                                                                                            C(6)                     C(5)
                                                                                                                                     AIC                     C(6)
 Indira Gandhi                      -0.1915**     Indira0.3014**
                                                         Gandhi                        -0.1915**
                                                                                  0.0457**               0.3014**
                                                                                                         0.8812**                 0.0457**
                                                                                                                                   2.9511                 0.8812*
                                     (0.0000)           (0.0000)                        (0.0000)
                                                                                  (0.0029)               (0.0000)                 (0.0029)                (0.0000
 Rajiv Gandhi                       -0.0787**     Rajiv 0.1464**
                                                        Gandhi                         -0.0787**
                                                                                   -0.0190               0.1464**
                                                                                                         0.9654**                  -0.0190
                                                                                                                                   3.7432                 0.9654*
                                     (0.0000)           (0.0000)                        (0.0000)
                                                                                  (0.1480)               (0.0000)                 (0.1480)                (0.0000
 P.V. Narasimha Rao                 -0.1445**     P.V. Narasimha
                                                        0.2112** Rao                   -0.1445**
                                                                                  0.0312**               0.2112**
                                                                                                         0.9808**                 0.0312**
                                                                                                                                   3.8562                 0.9808*
                                     (0.0000)           (0.0000)                        (0.0000)
                                                                                  (0.0316)               (0.0000)                 (0.0316)                (0.0000
 Atal Bihari Vajpayee               -0.1517**     Atal Bihari  Vajpayee
                                                        0.2949**                       -0.1517**
                                                                                 -0.1301**               0.2949**
                                                                                                         0.9155**                -0.1301**
                                                                                                                                   3.7356                 0.9155*
                                     (0.0000)           (0.0000)                        (0.0000)
                                                                                  (0.0000)               (0.0000)                 (0.0000)                (0.0000
 Dr. Manmohan Singh                 -0.1376**     Dr. Manmohan
                                                        0.1947** Singh                 -0.1376**
                                                                                 -0.0787**               0.1947**
                                                                                                         0.9781**                -0.0787**
                                                                                                                                   3.3567                 0.9781*
                                     (0.0000)           (0.0000)                        (0.0000)
                                                                                  (0.0000)               (0.0000)                 (0.0000)                (0.0000
 Narendra Modi                      -0.0919**     Narendra    Modi
                                                        0.1078**                       -0.0919**
                                                                                 -0.1446**               0.1078**
                                                                                                         0.9742**                -0.1446**
                                                                                                                                   2.5275                 0.9742*
                                     (0.0000)           (0.0000)                        (0.0000)
                                                                                  (0.0000)               (0.0000)                 (0.0000)                (0.0000
 ** Significance at 5% level                      ** Significance at 5% level
 Source: Author’s own calculation                 Source: Author’s own calculation
 Table 7 presents the outcome of TGARCH        Table  7 presents
                                                  estimation.       the the
                                                                Here,   outcome
                                                                              constantof TGARCH        estimation.during
                                                                                           term is significant          Here,thethe constant term is significant
 tenure7ofpresents
Table       the PrimetheMinisters.
                            outcome The GARCH  tenure
                                         of TGARCH     of estimation.
                                                           the Prime
                                                   coefficients         Ministers.
                                                                             Here, The
                                                                 are statistically          GARCH
                                                                                       significant
                                                                                       the   constant    coefficients
                                                                                                        that   term isare
                                                                                                             confirms         statisticallyduring
                                                                                                                           about
                                                                                                                           significant       significant that confi
 previous
the  tenurereturn  volatility
               of the  Prime  significantly
                                 Ministers.    previous
                                             influence    return coefficients
                                                         current
                                                 The GARCH       volatility
                                                                  returns. The significantly
                                                                                    γare
                                                                                       values  influence
                                                                                               during thecurrent
                                                                                            statistically        tenure   returns.   Thecon-
                                                                                                                           of the that
                                                                                                                  significant      Prime  γ values during the ten
 Ministers
firms  aboutare previous
                not zero that   meansvolatility
                             return            Ministers
                                        presence           are not zero
                                                     of asymmetric
                                                     significantly         that in
                                                                       shocks
                                                                       influence  means
                                                                                     the    presence
                                                                                          return.
                                                                                        current          aof
                                                                                                           fallasymmetric
                                                                                                    Ifreturns.  in return      shocks induring
                                                                                                                     The γisvalues         the return. If a fall in r
 accompanied
the  tenure ofbythe an increase   in volatilityaccompanied
                       Prime Ministers           greater
                                                are  notthan
                                                               by anvolatility
                                                           zerothe
                                                                       increaseinduces
                                                                 that means
                                                                                   in volatility
                                                                                             by angreater
                                                                                      presence         increase
                                                                                                       of
                                                                                                                than   the volatility
                                                                                                                    in return
                                                                                                           asymmetric           then induces
                                                                                                                                shocks    in the
                                                                                                                                                  by an increase i
 leverage effect exist or in other words,      leverage   effect exist  or  in  other   words,   leverage
                                                                 means negative correlation between past returnseffect   means    negative    correlation between
return. If a fall in return is accompanied by an increase in volatility greater than the volatility in-
 and future volatility of returns (bad news    andhas
                                                    future
                                                       morevolatility
                                                              impact on of returns
                                                                            volatility(bad   news has
                                                                                        of return      thanmore
                                                                                                             goodimpact
                                                                                                                      news).on     volatility of return than good
                                                                                                                                Here,
duces by an increase in return then leverage effect exist or in other words, leverage effect means
 the C(5) coefficients during the time of the   AtalC(5) coefficients
                                                     Bihari Vajpayee,during       the time of
                                                                         Dr. Monmohan             Ataland
                                                                                               Sing       Bihari   Vajpayee,
                                                                                                             Narendra      ModiDr.areMonmohan Sing and Nare
negative correlation between pastpositive        returns    and   future
                                                         and statistically    volatility
                                                                              significant    of  returns        (bad     news    has   more
 positive and statistically significant as the probabilities     values are      less thanas    thepercent
                                                                                             five      probabilities     values are less
                                                                                                                 that means                 than five percent tha
impact   on   volatility   of  return   than     good    news).
                                               leverage effect
 leverage effect exists during their administration.              Here,
                                                            Thus,exists
                                                                   it may    the
                                                                         during
                                                                            be saidC(5)
                                                                                   their   coefficients
                                                                                       thatadministration.
                                                                                             negative newsThus,  during     the   time
                                                                                                                          it mayimpact
                                                                                                                    has more              of  Atalnegative news h
                                                                                                                                   be said that
Bihari  Vajpayee,
 on conditional       Dr. Monmohan
                 volatility of return thanSingthe   and Narendra
                                               on conditional
                                                   positive  news        Modi
                                                                volatility
                                                                     during        are
                                                                             oftheir
                                                                                 return  positive
                                                                                          thanasthe
                                                                                      tenure             and statistically
                                                                                                         positive
                                                                                                   compared          news
                                                                                                                    to      during
                                                                                                                        other      significant
                                                                                                                                Primetheir tenure as compared t
asMinisters.
   the probabilities values are lessMinisters.   than five percent that means leverage effect exists during
their administration. Thus, it may be said that negative news has more impact on conditional vol-
atility of return than the positive news during their tenure as compared to other Prime Ministers.

36     ◆   Indian Journal of Accounting (IJA) Volume: 52 (2) December 2020
You can also read