Electoral Shockwaves: A Novel Analysis of Market Volatility Surrounding India’s Prime Ministerial Elections

Murugesan Gayathri and Sharon Sophia

SAGE Open, 2025, vol. 15, issue 2, 21582440251343955

Abstract: This research explores the influence of Indian Prime Ministerial elections on the NSE Nifty 50 index, focusing on the election periods of 2019 and 2024. By employing an event study methodology combined with the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model, the study evaluates how electoral events affect market behavior and volatility. The analysis covers event windows from April 1 to June 10 in both years, providing a comprehensive view of market reactions before, during, and after the elections. The results reveal significant market volatility around election dates, accompanied by notable fluctuations in stock returns. The EGARCH model underscores the presence of volatility clustering and the substantial impact of election-related news on market stability. This study provides insights into the impact of elections on financial markets in emerging economies like India, offering valuable guidance for investors, policymakers, and analysts.

Keywords: stock market return; NSE Nifty 50; linearity; nonlinearity; E-GARCH (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:15:y:2025:i:2:p:21582440251343955

DOI: 10.1177/21582440251343955

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