Korean Journal of Policy Studies

Graduate School of Public Administration, Seoul National University

Korean J. Policy Stud. 2015; 30(3):23-40

pISSN: 1225-5017, eISSN: 2765-2807

Article

Election Cycles and Stock Market Reaction: International Evidence*

Cheolbeom Park¹, Jiyoun An²

¹Professor, Department of Economics, Korea University, 145 Anam-Ro, Seongbuk-Gu, Seoul 136-701, Tel: 82-2-3290-2203. Email: cbpark_kjs@korea.ac.kr.

²Assistant Professor, Department of International Studies, Kyung Hee University, 1732 Deogyoung-daero, Giheung-gu, Yongin-si, Gyeonggi-do 446-701, Tel: 82-31-201-3884, Fax: 82-31-201-2281, Email: ja256@khu.ac.kr.

^*Corresponding Author : E-mail: ja256@khu.ac.kr.

Â© Copyright 2015 Graduate School of Public Administration, Seoul National University. This is an Open-Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/4.0/) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.

Received: Jul 13, 2015; Revised: Aug 03, 2015; Revised: Aug 28, 2015; Accepted: Oct 23, 2015

Published Online: Dec 31, 2015

Abstract

This study investigates movements of stock market volatility during election periods (the six months before and after an election) using data from 16 countries. The main findings of this study are (1) volatility declines over time as elections approach, (2) the level of volatility during election periods is lower than that during nonelection periods, and (3) volatility rises quickly during election months and immediately after the elections. The first and second findings confirm assertions made in previous studies, such as Pantzalis, Stangeland, and Turtle (2000) and Wisniewski (2009), regarding the dynamic pattern of stock market volatility during election years.

Keywords: Elections; Stock market volatility; Uncertainty; International evidence