This thesis aims to analyse market behavior around presidential election periods in the U.S.. In particular, we want to determine whether excess returns for industries’ portfolios react strongly in terms of mean and volatility changes in their series. By using the IEM futures, we also try to address whether investors and voters had drastic reviews of the elections’ outcomes after particular events. At the same time, we try to determine the same by analysing the volatility in the whole U.S. market through the VIX. We do not find any strong evidence that the excess returns or the variance of excess returns of particular sectors are largely influenced by the election periods. However, this is found to be contrasting when analysing the VIX. Collectively, our results do not strongly support the idea that during elections, the market reports higher returns on average and increased level of stress (higher volatility).
|Educations||MSc in Advanced Economics and Finance, (Graduate Programme) Final Thesis|
|Number of pages||141|