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Election Cycles and Stock Market Reaction: International Evidence

Author

Listed:
  • An , Jiyoun

    (Kyung Hee University)

  • Park , Cheolbeom

    (Korea University)

Abstract

This study investigates movements of the stock return volatility during election periods (from one-year before an election to one-year after the election) with the use of data from 16 countries. The main findings of this study are (1) stock return volatility declines over time as elections approach, (2) the level of the stock return volatility during election periods is lower than that during non-election periods, and (3) the stock return volatility rises quickly during election months and immediately after the elections. The first and second findings confirm conjectures made on the dynamic pattern of the volatility in previous studies such as Pantzalis et al. (2000) and Wisniewski (2009).

Suggested Citation

  • An , Jiyoun & Park , Cheolbeom, 2012. "Election Cycles and Stock Market Reaction: International Evidence," Working Papers 12-4, Korea Institute for International Economic Policy.
    • Handle: RePEc:ris:kiepwp:2012_004
    DOI: 10.2139/ssrn.2319727
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    More about this item

    Keywords

    Elections; Stock Return Volatility; Uncertainty;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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