Political elections, abnormal returns and stock price volatility: the case of Greece

  • Published April 8, 2016
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  • DOI
    http://dx.doi.org/10.21511/imfi.13(1-1).2016.03
  • Article Info
    Volume 13 2016, Issue #1 (cont.), pp. 161-169
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The impact of the Greek political elections on the return and volatility of the Athens Stock Exchange (ASE) is investigated using both the standard event study methodology and various univariate GARCH models. The empirical results reveal positive pre- and post-election abnormal returns, but negative on the day of the election. Strong evidence is also found that suggests that the election outcome significantly affects the ASE return; however, the evidence is rather limited for the ASE volatility. The empirical findings raise doubts about the efficiency of the Greek stock market and might have important implications for investors with respect to decisions regarding entering and/or exiting the market or investment strategies around time periods where political elections are going to take place

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