Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility-Reference-Cited by-同舟云学术

Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility

Published:2022-11-01 Issue:3 Volume:73 Page:211-221
ISSN:0948-5139
Container-title:Review of Economics
language:en
Short-container-title:

Author:

Arin K. Peren¹²^ORCID,Elmassah Suzanna¹³^ORCID,Kaplan Samuel⁴,Spagnolo Nicola⁵²⁶

Affiliation:

1. College of Interdisciplinary Studies, Zayed University , Abu Dhabi , UAE

2. Centre for Applied Macroeconomic Analysis (CAMA), National Australian University , Canberra , Australia

3. Faculty of Economics and Political Science, Cairo University , Giza , Egypt

4. Facultad de Ciencias Económicas, Universidad Nacional de Córdoba , Córdoba , Argentina

5. Department of Economics , Brunel University London , Middlesex , UK

6. Economics, Universita’ degli Studi della Campania “Luigi Vanvitelli” , Naples , Italy

Abstract

Abstract By utilizing a novel data set of 24 democracies for the 1972–2018 period, we investigate how election outcomes, including election surprises, are priced by the stock market. We show that an election surprise increases volatility but has no significant effect on excess returns. A win by a coalition announced prior to the election decreases volatility, however, a large winning percentage for the lead party within the coalition decreases excess returns. An unexpected winning margin over the closest competitor by the lead party decreases volatility by consolidating power, but only in parliamentary elections. Party orientation for the winning party affects neither excess returns nor volatility, even if it is unexpected.

Publisher

Walter de Gruyter GmbH

Subject

General Economics, Econometrics and Finance

Link

https://www.degruyter.com/document/doi/10.1515/roe-2022-0039/pdf

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