Election Cycles and Stock Market Reaction: International Evidence
40 Pages Posted: 3 Sep 2013 Last revised: 2 May 2016
Date Written: December 14, 2012
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).
Keywords: Elections, Stock return volatility, Uncertainty
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation