Stock market performance around national elections of OECD countries from 1989 to 2016

Details

Supervisors

Petitjean, Mikael

Faculty

Louvain School of Management

Degree label

Master [120] en sciences de gestion

Abstract

Objectives The objective of this master thesis is to highlight the potential influence of national elections on the stock market performance of 29 OECD countries during the period from 1989 to 2016. Method An event study and regression have been performed in order to highlight the movement of abnormal returns around the elections and test the significance of several parameters influence on the compounded abnormal returns. Results Regarding the event study, significant influences have been found on both long and short term bases around the event. Moreover, certain characteristics of the election appears to have a stronger impact on abnormal returns. No significance was found regarding the regression on the multiple explanatory variables. Conclusion Three main periods have been identified with significant influence of elections on the performance of the stock exchange. The victory of a right wing candidate, a positive margin of victory and the fact that the elected party do not change from the previous cycle are the three characteristics that have a strong positive significant impact on elections abnormal returns. However, as the regression factors are not significant, further analysis have to be performed in order to identify the influencing parameters.