ELECTIONS AND STOCK MARKET RETURNS: EVIDENCE FROM BORSA ISTANBUL

Stock prices may display predictable patterns around major political events, particularly in emerging market economies where risk is a key component of asset premiums. One distinct event that would be expected to result an abrupt increase elections. Motivated by this notion, we study the returns for set indicator and sectoral indices Borsa Istanbul stocks U.S. Dollar–Turkish Lira exchange rate elections held Turkey over 2001–2020. Our tests reveal accumulation economically statistically significant positive abnormal all stock negative window starts as early month prior election date extends two weeks into post-election period, with effect being strong week immediately following election. Consistent risk-based story, volatility index increasing same period plateaus out at level roughly one-and-a half two-folds greater than its pre-election average.