EconStor >
Europa-Universität Viadrina Frankfurt (Oder) >
Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina >
Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/22109
  
Title:Stock Market Volatility around National Elections PDF Logo
Authors:Bialkowski, Jedrzej
Gottschalk, Katrin
Wisniewski, Tomasz Piotr
Issue Date:2006
Series/Report no.:The Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2006,2
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 countryspecific 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.
Subjects:Political risk
National elections
Stock market volatility
JEL:G11
G14
G12
Document Type:Working Paper
Appears in Collections:Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina

Files in This Item:
File Description SizeFormat
p22006.pdf683.58 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/22109

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.