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Federal Securities Regulations and Stock Market Returns

Author

Listed:
  • Tung Liu

    (Department of Economics, Ball State University)

  • Courtenay C. Stone

    (Department of Economics, Ball State University)

  • Gary J. Santoni

    (Department of Economics, Ball State University)

Abstract

This paper uses the EGARCH-M model to examine the impact of federal securities statutes on the mean and variance of total real U.S. stock market returns. In contrast to previous work, this study employs a longer time period, utilizes a broader array of stocks and examines the impact of eight major federal securities acts and their 573 amendments from 1933 through 2007. Despite the popular appeal of this legislation, our results indicate that these federal securities statutes and amendments have had no statistical impact on the mean or variance of total real stock returns over the past 75 years.

Suggested Citation

  • Tung Liu & Courtenay C. Stone & Gary J. Santoni, 2008. "Federal Securities Regulations and Stock Market Returns," Working Papers 200803, Ball State University, Department of Economics, revised Dec 2008.
    • Handle: RePEc:bsu:wpaper:200803
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    References listed on IDEAS

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    More about this item

    Keywords

    securities regulations; SEC; GARCH; stock returns;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law

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