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Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina >

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http://hdl.handle.net/10419/22109
  

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dc.contributor.authorBialkowski, Jedrzejen_US
dc.contributor.authorGottschalk, Katrinen_US
dc.contributor.authorWisniewski, Tomasz Piotren_US
dc.date.accessioned2009-01-29T14:26:12Z-
dc.date.available2009-01-29T14:26:12Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/22109-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesThe Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2006,2en_US
dc.subject.jelG11en_US
dc.subject.jelG14en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordPolitical risken_US
dc.subject.keywordNational electionsen_US
dc.subject.keywordStock market volatilityen_US
dc.titleStock Market Volatility around National Electionsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn511357834en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:euvgra:20062-
Appears in Collections:Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina

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