Election Cycles and Stock Market Reaction: International Evidence

Jiyoun An and Cheolbeom Park
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Jiyoun An: Kyung Hee University

No 12-4, Working Papers from Korea Institute for International Economic Policy

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 (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2012-12-14
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Persistent link: https://EconPapers.repec.org/RePEc:ris:kiepwp:2012_004

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