Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22109 
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dc.contributor.authorBialkowski, Jedrzejen
dc.contributor.authorGottschalk, Katrinen
dc.contributor.authorWisniewski, Tomasz Piotren
dc.date.accessioned2009-01-29T14:26:12Z-
dc.date.available2009-01-29T14:26:12Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aEuropean University Viadrina, The Postgraduate Research Programme: Capital Markets and Finance in the Enlarged Europe |cFrankfurt (Oder)en
dc.relation.ispartofseries|aWorking Paper Series |x2006,2en
dc.subject.jelG11en
dc.subject.jelG14en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordPolitical risken
dc.subject.keywordNational electionsen
dc.subject.keywordStock market volatilityen
dc.titleStock Market Volatility around National Elections-
dc.typeWorking Paperen
dc.identifier.ppn511357834en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:euvgra:20062en

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