A partisan effect in the efficiency of the US stock market

This work examines the presence of a partisan effect in the US markets over different presidential periods. The analysis is based on the computation of the fractal scaling dynamics of the Dow Jones Industrial Average by means of the detrended fluctuation analysis. The results indicated the presence of several cycles with dominant periods ranging from a 4 to 12 years/cycle. It is argued that these periods are within the range for business cycles reported in the recent literature. On the other hand, it is found that over Democratic terms the stock market tends to deviate from de random walk behavior, which suggests important differences in the economic policies implemented by each political party.