Election Cycles and Stock Market Reaction: International Evidence

40 Pages Posted: 3 Sep 2013 Last revised: 2 May 2016

See all articles by Jiyoun An

Jiyoun An

Kyung Hee University

Cheolbeom Park

Korea University

Date Written: December 14, 2012

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).

Keywords: Elections, Stock return volatility, Uncertainty

JEL Classification: G11, G12, G14

Suggested Citation

An, Jiyoun and Park, Cheolbeom, Election Cycles and Stock Market Reaction: International Evidence (December 14, 2012). KIEP Research Paper No. Working Papers-12-04. Available at SSRN: https://ssrn.com/abstract=2319727 or http://dx.doi.org/10.2139/ssrn.2319727

Jiyoun An (Contact Author)

Kyung Hee University ( email )

1732 Deogyeong-daero
Giheung-gu
Yongin-si, Gyeonggi-do, Gyeonggi-Do 446-701
Korea, Republic of (South Korea)

HOME PAGE: http://kic.khu.ac.kr/

Cheolbeom Park

Korea University ( email )

1 Anam-dong 5 ka
Seoul, 136-701
Korea, Republic of (South Korea)

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