Stock market volatility around national elections

Białkowski, Jędrzej; Gottschalk, Katrin; Wisniewski, Tomasz Piotr

doi:10.1016/j.jbankfin.2007.12.021

Cited by 334 publications

(96 citation statements)

References 50 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Following Bialkowski et al (2008), we use the volatility event study approach to estimate the impact of terrorism events on the volatility of stock returns. The analysis starts by controlling the firm-specific component of variance within a GARCH(1,1) framework:…”

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Event-study volatility and bootstrapping: an international study

Essaddam

Mnasri

2014

Applied Economics Letters

View full text Add to dashboard Cite

This paper examines the impact of terrorism on volatility of stock returns over 17 market indices between 1994 and 2005. Using a volatility event study approach methodology, we find that terrorism has a significant impact on the stock market volatility. We also propose a new semiparametric bootstrap technique which consists in re-sampling the rescaled residuals obtained from the estimations of GARCH equations before the event and using a moving block approach where the residuals are chosen in a chronologically consecutive manner each time we generate a bootstrap sample. This technique provides a better way to perform inference that is more reliable on finite samples than inference based on conventional asymptotic theory.

show abstract

Section: Methodsmentioning

confidence: 99%

“…We use the Morgan Stanley Capital International world index as a proxy for market portfolio. Guided by the results of Hwang and Valls Pereira (2006) and Bialkowski et al (2008), we have decided to choose an estimation period of 500 trading days to estimate the benchmark volatility.…”

Section: Methodsmentioning

confidence: 99%

Event-study volatility and bootstrapping: an international study

Essaddam

Mnasri

2014

Applied Economics Letters

View full text Add to dashboard Cite

show abstract

“…It is noteworthy that there is another strand of interesting research on political elections, stock market volatility, and stock market performance (see among others, Bialkowski et al 2008; Goodell and Vähämaa 2013; Johnson et al 1999; Kirui et al 2014; Kabiru et al 2015; Lehkonen and Heimonen 2015; Li and Born 2006; Opare 2012; Smales 2014, 2015, 2016). In particular, Bialkowski et al (2008) found evidence that stock market volatility is substantially raised around national elections over 27 industrialised nations.…”

Section: Introductionmentioning

confidence: 99%

“…In particular, Bialkowski et al (2008) found evidence that stock market volatility is substantially raised around national elections over 27 industrialised nations. Smales (2014, 2016) documented that the implied volatility of financial markets increases in line with uncertainty about the election outcome.…”

Section: Introductionmentioning

confidence: 99%

The effect of Malaysia general election on stock market returns

Liew¹,

Rowland²

2016

SpringerPlus

View full text Add to dashboard Cite

During the latest episode of general election held in Malaysia, it is observed that the FBMKLCI index was lifted 62.52 points in a day soon after the announcement of election outcome. Moreover, the index registered a highest gain of 96.29 points in the middle of the intra-day trade. This suggests that investors who had got the right direction could make profitable intra-day trading the next trading day of the general election date. Results from statistical analysis uncover significant before-election-effect and after-election-effect from the most recent general elections held in Malaysia. Different subsets of macroeconomic variables are found to have significant role on stock market return depending on the market situation. Remarkably, when there was close fight between the two major political parties during the 2008 and 2013 election years, political uncertainty showed up its negative and significant role in influencing the stock market return. The major implication of these findings is that while investors may seek abnormal returns before and after the next general election, which is around the corner, they will have to pay attention on the influence of macroeconomic variables and political uncertainty on stock market return during the election year.

show abstract

“…Our paper contributes to the recent policy uncertainty and corporate political connection literature. First, prior literature provides evidence that political or policy-related uncertainty affects country-or industry-wide stock market volatility (Bialkowski, Gottschalk, and Wisniewski, 2008;Fuss and Bechtel, 2008;Boutchkova et al, 2012). Our investigation is done at the firm level by exploiting each firm's political activities.…”

mentioning

confidence: 99%