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Impact of U.S. presidential elections on stock markets’ volatility: Does incumbent president's party matter?

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  • Mnasri, Ayman
  • Essaddam, Naceur

Abstract

The objective of this paper is to examine the impact of U.S. presidential elections on the volatility of stock market returns. We investigate two hypotheses that could explain election impact on stock market volatility, namely: Election Uncertainty and Political Uncertainty. Our paper shows that the relation between implied volatility and the opposing party candidate's probability of winning is positive and statistically significant.

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  • Mnasri, Ayman & Essaddam, Naceur, 2021. "Impact of U.S. presidential elections on stock markets’ volatility: Does incumbent president's party matter?," Finance Research Letters, Elsevier, vol. 39(C).
    • Handle: RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302300
    DOI: 10.1016/j.frl.2020.101622
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    References listed on IDEAS

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    Cited by:

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    3. Stephens, John & Mehdian, Seyed & Gherghina, Ștefan Cristian & Stoica, Ovidiu, 2023. "The reaction of the financial market to the January 6 United States Capitol attack: An intraday study," Finance Research Letters, Elsevier, vol. 56(C).

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