Stock market volatility around national elections

dc.contributor.author	Bialkowski, J.
dc.contributor.author	Gottschalk, K.
dc.contributor.author	Wisniewski, T.
dc.date.accessioned	2011-02-21T02:49:17Z
dc.date.available	2011-02-21T02:49:17Z
dc.date.copyright	2006
dc.date.created	2006
dc.date.issued	2006
dc.description.abstract	This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an Election Day, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a coalition with a majority of seats in parliament significantly contribute to the magnitude of the election shock. Our findings have important implications for the optimal strategies of risk-averse stock market investors and participants of the option markets.
dc.identifier.other	26-2006
dc.identifier.uri	https://hdl.handle.net/10292/1140
dc.publisher	AUT Faculty of Business
dc.relation.uri	http://www.aut.ac.nz/__data/assets/pdf_file/0009/48483/enterprise_and_innovation_26-2006.pdf
dc.rights	2006 © - Copyright of the Author(s)
dc.rights.accessrights	OpenAccess
dc.source	Enterprise and Innovation, 2006, 26
dc.title	Stock market volatility around national elections
dc.type	Working Paper

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