Political uncertainty and stock market volatility: A comparative analysis of presidential elections in sub-ASEAN markets

This paper examines the impact of presidential elections on stock return volatility in four selected Sub-South East Asian stock markets: Indonesia, Malaysia, Thailand, and the Philippines. Using a generalised autoregressive conditional heteroscedasticity (GARCH) model, this study incorporates pre- and post-election dummy variables to assess the effect of presidential elections on market volatility. The findings reveal that heightened uncertainty before the elections significantly increases stock market volatility across all four countries. Additionally, the study highlights that investors' limited understanding of post-election government policies further drives market volatility for up to 90 days after the election. In contrast to previous research focused on individual leading countries, this paper offers a comparative analysis of countries with similar political and economic conditions, providing new insights into the broader regional effects of elections on stock market behaviour.